The R Journal: article published in 2020, volume 12:1

Linear Fractional Stable Motion with the rlfsm R Package
Stepan Mazur and Dmitry Otryakhin , The R Journal (2020) 12:1, pages 386-405.

Abstract Linear fractional stable motion is a type of a stochastic integral driven by symmetric alpha-stable Lévy motion. The integral could be considered as a non-Gaussian analogue of the fractional Brownian motion. The present paper discusses R package rlfsm created for numerical procedures with the linear fractional stable motion. It is a set of tools for simulation of these processes as well as performing statistical inference and simulation studies on them. We introduce: tools that we developed to work with that type of motions as well as methods and ideas underlying them. Also we perform numerical experiments to show finite-sample behavior of certain estimators of the integral, and give an idea of how to envelope workflow related to the linear fractional stable motion in S4 classes and methods. Supplementary materials, including codes for numerical experiments, are available online. rlfsm could be found on CRAN and gitlab.

Received: 2020-04-05; online 2020-09-10
CRAN packages: rlfsm, somebm, stabledist, stable, ggplot2
CRAN Task Views implied by cited CRAN packages: Distributions, Graphics, Phylogenetics, TeachingStatistics

This article is licensed under a Creative Commons Attribution 4.0 International license.

@article{RJ-2020-008,
  author = {Stepan Mazur and Dmitry Otryakhin},
  title = {{Linear Fractional Stable Motion with the rlfsm R Package}},
  year = {2020},
  journal = {{The R Journal}},
  doi = {10.32614/RJ-2020-008},
  url = {https://doi.org/10.32614/RJ-2020-008},
  pages = {386--405},
  volume = {12},
  number = {1}
}