pvar | R Documentation |
Calculates p-variation of the sample.
pvar(x, p, TimeLabel = as.vector(time(x)), LSI = 3) ## S3 method for class 'pvar' summary(object, ...) ## S3 method for class 'pvar' plot(x, main = "p-variation", ylab = x$dname, sub = "p=" %.% round(x$p, 5) %.% ", p-variation: " %.% formatC(x$value, 5, format = "f"), col.PP = 2, cex.PP = 0.5, ...)
x |
a (non-empty) numeric vector of data values or an object of the class |
p |
a positive number indicating the power |
TimeLabel |
numeric, a time index of |
LSI |
a length of small interval. It must be a positive odd number. This parameter do not have effect on final result, but might influence the speed of calculation. |
object |
an objct of the class |
... |
further arguments. |
main |
a |
ylab |
a |
sub |
a |
col.PP |
the color of partition points. |
cex.PP |
the cex of partition points. |
This function is the main function in this package. It calculates the p-variation of the sample.
The formal definition is given in pvar-package
.
An object of the class pvar
. Namely, it is a list that contains
value |
a value of p-variation. |
x |
a vector of original data |
p |
the value of p. |
partition |
a vector of indexes that indicates the partition that achieves the maximum. |
dname |
a name of data vector (optional). |
TimeLabel |
a time label of |
Vygantas Butkus <Vygantas.Butkus@gmail.com>
IsEqualPvar
, AddPvar
, PvarBreakTest
.
### randomised data: x = rbridge(1000) ### the main functions: pv = pvar(x, 2) print(pv) summary(pv) plot(pv) ### The value of p-variation is pv; Sum_p(x[pv$partition], 2) ### The meaning of supreme partition points: pv.PP = pvar(x[pv$partition], TimeLabel=time(x)[pv$partition], 2) pv.PP == pv.PP op <- par(mfrow = c(2, 1), mar=c(2, 4, 4, 1)) plot(pv, main='pvar with original data') plot(pv.PP, main='The same pvar without redundant points') par(op)
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