H_hat {rlfsm}

Statistical estimator of H in high/low frequency setting

Description

The statistic is defined as

\widehat{H}_{\textnormal{high}} (p,k)_n:= \frac 1p \log_2 R_{\textnormal{high}} (p,k)_n, \qquad \widehat{H}_{\textnormal{low}} (p,k)_n:= \frac 1p \log_2 R_{\textnormal{low}} (p,k)_n

Usage

H_hat(p, k, path)

Arguments

p

power

k

increment order

path

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

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.