Title: Estimation of the linear fractional stable motion: Numerical techniques and results
Authors: Dmitry Otryakhin - Aarhus University (Denmark) [presenting]
Mark Podolskij - Aarhus University (Denmark)
Stepan Mazur - Orebro University (Sweden)
Abstract: Linear fractional stable motion is a non-Gaussian analogue of fractional Brownian motion which is used in some areas of physics as well as in network traffic modeling. Several parameter estimation techniques for this type of motions have been studied, while some of the estimators were developed with the corresponding limit theory. The main numerical features of the latter ones are shown. On top of that, the ideas behind the architecture of R package rlfsm, developed for numerical studies of lfsm, are discussed with possible extensions to applications in Levy-driven processes.