Computation of p-variation

Lithuanian Mathematical Journal volume 58, pages360–378(2018)Cite this article

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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Author information

Affiliations

  1. Faculty of Mathematics and Informatics, Vilnius University, Naugarduko str. 24, LT-08663, Vilnius, Lithuania

    Vygantas Butkus & Rimas Norvaiša

Authors
  1. Vygantas Butkus
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  2. Rimas Norvaiša
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Corresponding author

Correspondence to Vygantas Butkus.

Additional information

The research supported by the Research Council of Lithuania, grant No. S-MIP-17-76.

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Butkus, V., Norvaiša, R. Computation of p-variation. Lith Math J 58, 360–378 (2018). https://doi.org/10.1007/s10986-018-9414-3

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MSC

  • 26A45

Keywords

  • p-variation
  • computation
  • piecewise monotone function