qgv function

qgv

Estimate the local Holder exponent with quadratic generalized variations method

qgv(yuima, filter.type = "Daubechies", order = 2, a = NULL)

Arguments

• yuima: A yuima object.
• filter.type: The filter.type can be set to "Daubechies" or "Classical".
• order: The order of the filter a to be chosen
• a: Any other filter

Details

Estimation of the Hurst index and the constant of the fractional Ornstein-Uhlenbeck process.

Returns

an object of class qgv

References

Brouste, A., Iacus, S.M. (2013) Parameter estimation for the discretely observed fractional Ornstein-Uhlenbeck process and the Yuima R package, Computational Statistics, pp. 1129--1147.

Author(s)

The YUIMA Project Team

See Also

See also mmfrac.

Examples

# Estimating both Hurst parameter and diffusion coefficient in fractional Ornstein-Uhlenbeck

model<-setModel(drift="-x*lambda",hurst=NA,diffusion="theta")
sampling<-setSampling(T=100,n=10000)
yui1<-simulate(model,true.param=list(theta=1,lambda=4),hurst=0.7,sampling=sampling)
qgv(yui1)

# Estimating Hurst parameter only in diffusion processes

model2<-setModel(drift="-x*lambda",hurst=NA,diffusion="theta*sqrt(x)")
sampling<-setSampling(T=1,n=10000)
yui2<-simulate(model2,true.param=list(theta=1,lambda=4),hurst=0.7,sampling=sampling,xinit=10)
qgv(yui2)