qgv | R Documentation |
Estimate the local Holder exponent with quadratic generalized variations method
qgv(yuima, filter.type = "Daubechies", order = 2, a = NULL)
yuima |
A |
filter.type |
The |
order |
The order of the filter |
a |
Any other filter |
Estimation of the Hurst index and the constant of the fractional Ornstein-Uhlenbeck process.
an object of class qgv
The YUIMA Project Team
Brouste, A., Iacus, S.M. (2013) Parameter estimation for the discretely observed fractional Ornstein-Uhlenbeck process and the Yuima R package, Computational Statistics, pp. 1129–1147.
See also mmfrac
.
# Estimating both Hurst parameter and diffusion coefficient in fractional Ornstein-Uhlenbeck model<-setModel(drift="-x*lambda",hurst=NA,diffusion="theta") sampling<-setSampling(T=100,n=10000) yui1<-simulate(model,true.param=list(theta=1,lambda=4),hurst=0.7,sampling=sampling) qgv(yui1) # Estimating Hurst parameter only in diffusion processes model2<-setModel(drift="-x*lambda",hurst=NA,diffusion="theta*sqrt(x)") sampling<-setSampling(T=1,n=10000) yui2<-simulate(model2,true.param=list(theta=1,lambda=4),hurst=0.7,sampling=sampling,xinit=10) qgv(yui2)
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