phi {rlfsm} | R Documentation |
Phi
Description
Defined as
\varphi_{\textnormal{high}}(t; H,k)_n := V_{\textnormal{high}}(\psi_t; k)_n \qquad \textnormal{and}
\qquad \varphi_{\textnormal{low}}(t; k)_n := V_{\textnormal{low}}(\psi_t; k)_n
,
where \psi_t(x):=cos(tx)
Usage
phi(t, k, path, H, freq)
Arguments
t |
positive real number |
k |
increment order |
path |
sample path of lfsm on which the inference is to be performed |
H |
Hurst parameter |
freq |
Frequency of the motion. It can take two values: "H" for high frequency and "L" for the low frequency setting. |
Details
Hurst parameter is required only in high frequency case. In the low frequency, there is no need to assign H a value because it will not be evaluated.
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.
[Package rlfsm version 1.1.2 Index]