phi_of_alpha {rlfsm}

Inverse alpha estimator

Description

A function from a general estimation procedure which is defined as m^p_-p'_k /m^p'_-p_k, originally proposed in [13].

Usage

phi_of_alpha(p, p_prime, alpha)

Arguments

p

power

p_prime

power

alpha

self-similarity parameter of alpha stable random motion.

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.