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5. Stable Processes

This routines allows to estimate the four relevant parameters in case your signal is a stable Levy process, i.e. a process with i.i.d. increments having stable marginal law. More details about stable processes and the parameters that characterize them are available in the Synthesis menu. Two well-known estimation methods are implemented (see (5)), the Mac Culloch and Koutrouvelis ones.

5.1 Mac Culloch Method

Check as usual your Input signal, and just hit Compute. The estimated values of the Characteristic Exponent, the Skewness, Location and Scale parameter will appear, along with estimates of their standard deviation (in the column std). Be careful that if you want to estimate the parameters of the stable motion X, you should input here the signal Y which contains the increments of X. In other words, this procedure estimates the parameters of the process, the increments of which are the input signal.

5.2 Koutrouvelis Method

This is exactly the same as above, except this time no estimates are available for the standard deviations. The same remark about the increments applies.


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