RFhurst: Hurst coefficient

Description Usage Arguments Details Value References See Also Examples

View source: R/D.H.R

Description

The function estimates the Hurst coefficient of a process

Usage

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RFhurst(x, y = NULL, z = NULL, data, sort = TRUE,
 block.sequ = unique(round(exp(seq(log(min(3000, dimen[1]/5)),
 log(dimen[1]),
 len = min(100, dimen[1]))))),
 fft.m = c(1, min(1000, (fft.len - 1)/10)),
 fft.max.length = Inf, method = c("dfa", "fft", "var"),
 mode = if (interactive ()) c("plot", "interactive") else "nographics", 
 pch = 16, cex = 0.2, cex.main = 0.85,
 printlevel = RFoptions()$basic$printlevel, height = 3.5,
 ...)

Arguments

x \argX
y,z \argYz
data

the data

sort

logical. If TRUE then the coordinates are permuted such that the largest grid length is in x-direction; this is of interest for algorithms that slice higher dimensional fields into one-dimensional sections.

block.sequ

ascending sequences of block lengths for which the detrended fluctuation analysis and the variance method are performed.

fft.m

vector of 2 integers; lower and upper endpoint of indices for the frequency which are used in the calculation of the regression line for the periodogram near the origin.

fft.max.length

if the number of points in x-direction is larger than fft.max.length then the segments of length fft.max.length are considered, shifted by fft.max.length/2 (WOSA-estimator).

method

list of implemented methods to calculate the Hurst parameter; see Details

mode

character. A vector with components 'nographics', 'plot' or 'interactive':

'nographics'

no graphical output

'plot'

the regression line is plotted

'interactive'

the regression domain can be chosen interactively

Usually only one mode is given. Two modes may make sense in the combination c("plot", "interactive") in which case all the results are plotted first, and then the interactive mode is called. In the interactive mode, the regression domain is chosen by two mouse clicks with the left mouse; a right mouse click leaves the plot.

pch

vector or scalar; sign by which data are plotted.

cex

vector or scalar; size of pch.

cex.main

font size for title in regression plot; only used if mode includes 'plot' or 'interactive'

printlevel

integer. If printlevel is 0 or 1 nothing is printed. If printlevel=2 warnings and the regression results are given. If printlevel>2 tracing information is given.

height

height of the graphics window

...

graphical arguments

Details

The function is still in development. Several functionalities do not exist - see the code itself for the current stage.

The function calculates the Hurst coefficient by various methods:

Value

The function returns a list with elements dfa, varmeth, fft corresponding to the three methods given in the Details.

Each of the elements is itself a list that contains the following elements.

x

the x-coordinates used for the regression fit

y

the y-coordinates used for the regression fit

regr

the coefficients of the lm.

sm

smoothed curve through the (x,y) points

x.u

NULL or the restricted x-coordinates given by the user in the interactive plot

y.u

NULL or y-coordinates according to x.u

regr.u

NULL or the coefficients of lm for x.u and y.u

H

the Hurst coefficient

H.u

NULL or the Hurst coefficient corresponding to the user's regression line

References

detrended fluctuation analysis

aggregated variation

periodogram

See Also

RMmodel, RFfractaldim

Examples

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RFoptions(seed=0) ## *ANY* simulation will have the random seed 0; set
##                   RFoptions(seed=NA) to make them all random again


x <- runif(1000)
h <- RFhurst(1:length(x), data=x)

RandomFields documentation built on Feb. 6, 2020, 5:13 p.m.