Computation of <Emphasis Type="BoldItalic">p</Emphasis>-variation |
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Authors: | Vygantas Butkus Rimas Norvai?a |
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Institution: | 1.Faculty of Mathematics and Informatics,Vilnius University,Vilnius,Lithuania |
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Abstract: | A code for computing the p-variation of a piecewise monotone function is introduced. The code is publicly available in the R environment package under the name pvar. The algorithm is based on some properties of the p-variation of a piecewise monotone function proved in this paper. The mathematical results may have their own interest. |
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