View source: R/functions_for_estimates.r
sigma_hat | R Documentation |
Statistical estimator for sigma
sigma_hat(t1, k, path, alpha, H, freq)
t1 |
real number such that t1 > 0 |
k |
increment order |
path |
sample path of lfsm on which the inference is to be performed |
alpha |
self-similarity parameter of alpha stable random motion. |
H |
Hurst parameter |
freq |
Frequency of the motion. It can take two values: "H" for high frequency and "L" for the low frequency setting. |
m<-45; M<-60; N<-2^14-M alpha<-1.8; H<-0.8; sigma<-0.3 freq='H' r=1; k=2; p=0.4; t1=1; t2=2 # Reproducing the work of ContinEstim # in high frequency case lfsm<-path(N=N,m=m,M=M,alpha=alpha,H=H, sigma=sigma,freq='L',disable_X=FALSE,seed=1)$lfsm H_est<-H_hat(p=p,k=k,path=lfsm) H_est alpha_est<-alpha_hat(t1=t1,t2=t2,k=k,path=lfsm,H=H_est,freq=freq) alpha_est sigma_est<-tryCatch( sigma_hat(t1=t1,k=k,path=lfsm, alpha=alpha_est,H=H_est,freq=freq), error=function(c) 'Impossible to compute sigma_est') sigma_est
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