lssd: LSSD estimation for the HKp parameters.

In HKprocess: Hurst-Kolmogorov Process

LSSD estimation for the HKp parameters.

Description

The function lssd is used to estimate the σ and H parameters of the HKp, using the LSSD (Least Squares based on Standard Deviation) method as described in Koutsoyiannis (2003) and Tyralis and Koutsoyiannis (2011, Section 2.3).

Usage

lssd(data, k1, p = 2, q = 0, interval = c(0.001, 0.999))

Arguments

data	time series data
k1	maximum aggregation scale
p	Parameter used to determine the weights
q	Parameter used to determine the penalty factor
interval	H interval estimation

Value

Vector of LSSD estimates of σ and H.

Author(s)

Hristos Tyralis

References

Koutsoyiannis D (2003) Climate change, the Hurst phenomenon, and hydrological statistics. Hydrological Sciences Journal 48(1):3–24. doi: 10.1623/hysj.48.1.3.43481.

Tyralis H, Koutsoyiannis D (2011) Simultaneous estimation of the parameters of the Hurst-Kolmogorov stochastic process. Stochastic Environmental Research & Risk Assessment 25(1):21–33. doi: 10.1007/s00477-010-0408-x.

Examples

# Estimate the parameters for the Nile time series.

lssd(data = Nile, k1 = floor(length(Nile)/10), p = 2)

HKprocess documentation built on Oct. 27, 2022, 1:06 a.m.