Package: rlfsm 1.1.2

rlfsm: Simulations and Statistical Inference for Linear Fractional Stable Motions

Contains functions for simulating the linear fractional stable motion according to the algorithm developed by Mazur and Otryakhin <doi:10.32614/RJ-2020-008> based on the method from Stoev and Taqqu (2004) <doi:10.1142/S0218348X04002379>, as well as functions for estimation of parameters of these processes introduced by Mazur, Otryakhin and Podolskij (2018) <arxiv:1802.06373>, and also different related quantities.

Authors:Dmitry Otryakhin [aut, cre], Stepan Mazur [aut], Mathias Ljungdahl [ctb]

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rlfsm.pdf |rlfsm.html✨
rlfsm/json (API)
NEWS

# Install 'rlfsm' in R:

install.packages('rlfsm', repos = c('https://otryakhin-dmitry.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://gitlab.com/dmitry_otryakhin/tools-for-parameter-estimation-of-the-linear-fractional-stable-motion

Uses libs:

c++– GNU Standard C++ Library v3

On CRAN:

3.00 score 20 scripts 252 downloads 29 exports 40 dependencies

Last updated 2 years agofrom:dc918886fc. Checks:OK: 9. Indexed: yes.

Target	Result	Date
Doc / Vignettes	OK	Nov 07 2024
R-4.5-win-x86_64	OK	Nov 07 2024
R-4.5-linux-x86_64	OK	Nov 07 2024
R-4.4-win-x86_64	OK	Nov 07 2024
R-4.4-mac-x86_64	OK	Nov 07 2024
R-4.4-mac-aarch64	OK	Nov 07 2024
R-4.3-win-x86_64	OK	Nov 07 2024
R-4.3-mac-x86_64	OK	Nov 07 2024
R-4.3-mac-aarch64	OK	Nov 07 2024

Exports:a_p a_tilda alpha_hat ContinEstim GenHighEstim GenLowEstim H_hat h_kr increment increments m_pk MCestimLFSM Norm_alpha path Path_array paths phi phi_of_alpha Plot_dens Plot_list_paths Plot_vb R_hl Retrieve_stats sf sigma_hat theta U_g U_gh U_ghuv

Dependencies:cli codetools colorspace doParallel fansi farver foreach ggplot2 glue gtable isoband iterators labeling lattice lifecycle magrittr MASS Matrix mgcv munsell nlme pillar pkgconfig plyr R6 rbibutils RColorBrewer Rcpp Rdpack reshape2 rlang scales stabledist stringi stringr tibble utf8 vctrs viridisLite withr

Citation

Development and contributors

Readme and manuals

Help Manual

Help page	Topics
Function a_p.	a_p
Creates the corresponding value from the paper by Stoev and Taqqu (2004).	a_tilda
Statistical estimator for alpha	alpha_hat
Parameter estimation procedure in continuous case.	ContinEstim
High frequency estimation procedure for lfsm.	GenHighEstim
Low frequency estimation procedure for lfsm.	GenLowEstim
Statistical estimator of H in high/low frequency setting	H_hat
Function h_kr	h_kr
Higher order increments	increment increments
m(-p,k)	m_pk
Numerical properties of statistical estimators operating on the linear fractional stable motion.	MCestimLFSM
Alpha-norm of an arbitrary function	Norm_alpha
Generator of linear fractional stable motion	path
Path array generator	Path_array
Generator of a set of lfsm paths.	paths
Phi	phi
Inverse alpha estimator	phi_of_alpha
(alpha,H,sigma)- density plot	Plot_dens
Rendering of path lattice	Plot_list_paths
A function to plot variance- and bias dependencies of estimators on the lengths of sample paths. Works in conjunction with 'MCestimLFSM' function.	Plot_vb
R high /low	R_hl
Retrieve statistics(bias, variance) of estimators based on a set of paths	Retrieve_stats
Statistic V	sf
Statistical estimator for sigma	sigma_hat
Function theta	theta
alpha norm of u*g	U_g
alpha-norm of ug + vh.	U_gh
A dependence structure of 2 random variables.	U_ghuv