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.

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Package details

AuthorDmitry Otryakhin [aut, cre] (<https://orcid.org/0000-0002-4700-7221>), Stepan Mazur [aut] (<https://orcid.org/0000-0002-1395-9427>), Mathias Ljungdahl [ctb]
MaintainerDmitry Otryakhin <d.otryakhin.acad@protonmail.ch>
URL https://gitlab.com/Dmitry_Otryakhin/Tools-for-parameter-estimation-of-the-linear-fractional-stable-motion
Package repositoryView on CRAN
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rlfsm documentation built on Aug. 27, 2022, 5:06 p.m.