Calculation and Application of p-Variation

The calculation of p-variation of the finite sample data. This package is a realisation of the procedure described in Butkus, V. & Norvaisa, R. Lith Math J (2018). The formal definitions and reference into literature are given in vignette.

This package deals with the $p$-variation of the sample. Nonetheless, it could be used for to calculate $p$-variation for arbitrary piecewise monotonic function as well. See:

https://link.springer.com/article/10.1007/s10986-018-9414-3#citeas

If you intend to have use from this package, you need to be familiar with the topic. The formal definitions and reference into literature are given in vignette.

There are two main functions in this package, namely

• pvar - it is a function that calculates the $p$-variation of the sample.
• PvarBreakTest - it is functions that performs a test of multiple changes in a sequence of independent observations. This is one of the example of $p$-variation use in statistics.

In any question or remarks please don't hesitate to contact me by [email protected]

Best regards,

Vygantas Butkus