qgv {yuima} | R Documentation |
qgv
Description
Estimate the local Holder exponent with quadratic generalized variations method
Usage
qgv(yuima, filter.type = "Daubechies", order = 2, a = NULL)
Arguments
yuima |
A |
filter.type |
The |
order |
The order of the filter |
a |
Any other filter |
Details
Estimation of the Hurst index and the constant of the fractional Ornstein-Uhlenbeck process.
Value
an object of class qgv
Author(s)
The YUIMA Project Team
References
Brouste, A., Iacus, S.M. (2013) Parameter estimation for the discretely observed fractional Ornstein-Uhlenbeck process and the Yuima R package, Computational Statistics, pp. 1129–1147.
See Also
See also mmfrac
.
Examples
# Estimating both Hurst parameter and diffusion coefficient in fractional Ornstein-Uhlenbeck
model<-setModel(drift="-x*lambda",hurst=NA,diffusion="theta")
sampling<-setSampling(T=100,n=10000)
yui1<-simulate(model,true.param=list(theta=1,lambda=4),hurst=0.7,sampling=sampling)
qgv(yui1)
# Estimating Hurst parameter only in diffusion processes
model2<-setModel(drift="-x*lambda",hurst=NA,diffusion="theta*sqrt(x)")
sampling<-setSampling(T=1,n=10000)
yui2<-simulate(model2,true.param=list(theta=1,lambda=4),hurst=0.7,sampling=sampling,xinit=10)
qgv(yui2)
[Package yuima version 1.15.27 Index]