tauNonParametricEstimate {BSS}R Documentation

Non-parametric estimate of the scale factor

Description

Non-parametric estimate of the scale factor

Usage

tauNonParametricEstimate(Y)

Arguments

Y

a vector of observations of a BSS process.

Value

The function returns the non-parametric estimate for the scale factor. Note that this will be scaled by the expectation of the square of the volatitity.


[Package BSS version 0.1.0 Index]