bssAlphaFit {BSS} | R Documentation |
bssAlphaFit
uses the 'Change of Frequency' method to estimate the smoothness parameter, alpha
,
of a BSS process. The COF method needs only minimal assumptions on the parametric form of the kernel,
therefore the estimate can be used in any kernel.
bssAlphaFit(Y, p = 2)
Y |
a vector of observations of a BSS process at any frequency. |
p |
the power to be used in the change of frequency method. The default value is p = 2. |
The function returns a single value - an estimate for the smoothness parameter alpha.
N <- 10000
n <- 100
T <- 1.0
theta <- 0.5
beta <- 0.125
kappa <- 3
alpha <- -0.2
lambda <- 1.0
vol <- exponentiatedOrnsteinUhlenbeck(N, n, T, theta, beta)
bss_simulation <- gammaKernelBSS(N, n, T, kappa, alpha, lambda, sigma = vol)
y <- bss_simulation$bss
bssAlphaFit(y, p = 2)