mleHK | R Documentation |
The function mleHK is used to estimate the μ, σ and H parameters of the HKp. The method for their estimation is described in eqs.8-9 (Tyralis and Koutsoyiannis 2011).
mleHK(data, interval = c(0.0001, 0.9999), tol = .Machine$double.eps^0.25)
data |
time series data |
interval |
H interval estimation |
tol |
estimation error tolerance |
Vector of maximum likelihood estimates of μ, σ and H.
The function likelihoodfunction.c is called from the C library of the package. Ideas for creating this function came from McLeod et al. (2007).
Hristos Tyralis
McLeod AI, Yu H, Krougly ZL (2007) Algorithms for linear time series analysis: With R package. Journal of Statistical Software 23(5):1–26. doi: 10.18637/jss.v023.i05.
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. mleHK(Nile)
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