acfHKp | R Documentation |
The Hurst-Kolmogorov stochastic process (HKp) is a persistent process. The term HKp is an alternative of the term Fractional Gaussian Noise (FGN, see Koutsoyiannis 2010). Its autocorrelation function (ACF) is given by eq.16 (Koutsoyiannis 2002).
acfHKp(H, maxlag)
H |
Hurst parameter |
maxlag |
ACF computed at lags 0, 1, ..., maxlag |
Vector of autocorrelations at lags 0, 1, ..., maxlag.
The parameter H should be in (0, 1), see Koutsoyiannis (2002)
Hristos Tyralis
Koutsoyiannis D (2002) The Hurst phenomenon and fractional Gaussian noise made easy. Hydrological Sciences Journal 47(4):573–595. doi: 10.1080/02626660209492961.
Koutsoyiannis D (2010) A random walk on water. Hydrology and Earth System Sciences 14:585–601. doi: 10.5194/hess-14-585-2010.
# Compute the ACF at lags 0, 1, ..., 10 when H = 0.8. acfHKp(0.8, 10)
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