ContinEstim {rlfsm}

Parameter estimation procedure in continuous case.

Description

Parameter freq is preserved to allow for investigation of the inference procedure in high frequency case.

Usage

ContinEstim(t1, t2, p, k, path, freq)

Arguments

t1, t2

real number such that t2 > t1 > 0

p

power

k

increment order

path

sample path of lfsm on which the inference is to be performed

freq

Frequency of the motion. It can take two values: "H" for high frequency and "L" for the low frequency setting.

References

Mazur S, Otryakhin D, Podolskij M (2020). “Estimation of the linear fractional stable motion.” Bernoulli, 26(1), 226–252. https://doi.org/10.3150/19-BEJ1124.

Examples

m<-45; M<-60; N<-2^10-M
alpha<-0.8; H<-0.8; sigma<-0.3
p<-0.3; k=3; t1=1; t2=2

lfsm<-path(N=N,m=m,M=M,alpha=alpha,H=H,
           sigma=sigma,freq='L',disable_X=FALSE,seed=3)$lfsm
ContinEstim(t1,t2,p,k,path=lfsm,freq='L')