lsv | R Documentation |
The function lsv is used to estimate the σ and H parameters of the HKp, using the LSV (Least Squares based on Variance) method as described in Tyralis and Koutsoyiannis (2011, Section 2.4).
lsv(data, k1, p = 6, q = 0, interval = c(0.001, 0.999))
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 |
Vector of LSV estimates of σ and H.
Hristos Tyralis
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.
# Estimate the parameters for the Nile time series. lsv(data = Nile, k1 = floor(length(Nile)/10), p = 6, q = 50)
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