LSV estimation for the HKp parameters.

Description

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).

Usage

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lsv(data,k1,p = 6,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 LSV estimates of σ and H.

Author(s)

Hristos Tyralis

References

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. http://dx.doi.org/10.1007/s00477-010-0408-x.

Examples

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# Estimate the parameters for the Nile time series.

lsv(data = Nile,k1 = floor(length(Nile)/10),p = 6,q = 50)