HurstK: Hurst K Coefficient

In FGN: Fractional Gaussian Noise and power law decay time series model fitting

Description

The Hurst K provides a non-parametric estimate for the Hurst H coefficient

Usage

HurstK(z)

Arguments

z	time series vector

Details

There are many alternative non-parametric estimators for H. Some of the popular ones are discussed in Hipel and McLeod (2005).

Value

an estimate of H

Author(s)

A.I. McLeod

References

Hipel, K.W. and McLeod, A.I., (2005). Time Series Modelling of Water Resources and Environmental Systems. Electronic reprint of our book orginally published in 1994. http://www.stats.uwo.ca/faculty/aim/1994Book/.

McLeod, A.I., Yu, Hao, Krougly, Zinovi L. (2007). Algorithms for Linear Time Series Analysis, Journal of Statistical Software.

See Also

FitFGN

Examples

# the Hurst coefficient for NID series is 0.5
z<-rnorm(1000)
HurstK(z)
#Hurst K for Nile Minima
data(NileMin)
HurstK(NileMin)

Example output

[1] 0.575964
[1] 0.8249975

FGN documentation built on May 30, 2017, 7:19 a.m.