Simulations and Statistical Inference for Linear Fractional Stable Motions

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Documentation for package ‘rlfsm’ version 1.1.2

• DESCRIPTION file.
• Package NEWS.

Help Pages

alpha_hat	Statistical estimator for alpha
a_p	Function a_p.
a_tilda	Creates the corresponding value from the paper by Stoev and Taqqu (2004).
ContinEstim	Parameter estimation procedure in continuous case.
GenHighEstim	High frequency estimation procedure for lfsm.
GenLowEstim	Low frequency estimation procedure for lfsm.
H_hat	Statistical estimator of H in high/low frequency setting
h_kr	Function h_kr
increment	Higher order increments
increments	Higher order increments
MCestimLFSM	Numerical properties of statistical estimators operating on the linear fractional stable motion.
m_pk	m(-p,k)
Norm_alpha	Alpha-norm of an arbitrary function
path	Generator of linear fractional stable motion
paths	Generator of a set of lfsm paths.
Path_array	Path array generator
phi	Phi
phi_of_alpha	Inverse alpha estimator
Plot_dens	(alpha,H,sigma)- density plot
Plot_list_paths	Rendering of path lattice
Plot_vb	A function to plot variance- and bias dependencies of estimators on the lengths of sample paths. Works in conjunction with 'MCestimLFSM' function.
Retrieve_stats	Retrieve statistics(bias, variance) of estimators based on a set of paths
R_hl	R high /low
sf	Statistic V
sigma_hat	Statistical estimator for sigma
theta	Function theta
U_g	alpha norm of u*g
U_gh	alpha-norm of u*g + v*h.
U_ghuv	A dependence structure of 2 random variables.