Description Usage Arguments Value Examples
multifractal check
mfraccheck
computes the absolute empirical moments of the differenced series for various lags
and moment orders. E.g. for lag = 3 and moment order = 1 the average absolute value of
the differences with lag 3 will be computed. By default, the maximum lag is determined
so that the differenced series contains at lest 50 observations.
1 | mfraccheck(p, q_max)
|
p |
the series |
q_max |
maximum moment order |
out list with components:
moments |
matrix with lagmax raws and q_max columns containing the values of the absolute empirical moments |
lagmax |
the maximum lag for differencing |
1 2 3 4 5 |
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