H_LFD: Creates objects of class 'H_LFD'

In Rmfrac: Simulation and Statistical Analysis of Multifractional Processes

Creates objects of class H_LFD

Description

For user provided time series creates objects of class "H_LFD" with the Hurst function estimated using Hurst, local fractal dimension estimated using LFD and smoothed estimated Hurst function and LFD added.

Usage

H_LFD(X, N = 100, Q = 2, L = 2)

Arguments

X	Data frame where the first column is a numeric time sequence t and the second is the values of the time series X(t). To get reliable results, it is recommended to use at least 500 time points.
N	Argument used for the estimation of Hurst functions and LFD. Number of sub-intervals on which the estimation is performed on. Default is set to 100 sub-intervals.
Q	Argument used for the estimation of Hurst functions and LFD. Fixed integer greater than or equal to 2. Default is set to 2.
L	Argument used for the estimation of Hurst functions and LFD. Fixed integer greater than or equal to 2. Default is set to 2.

Value

The return from H_LFD is an object list of class "H_LFD" with the following components:

Raw_Hurst_estimates

A data frame of where the first column is a time sequence and second column is estimated values of the Hurst function.

Smoothed_Hurst_estimates

A data frame of where the first column is a time sequence and second column is smoothed estimates of the Hurst function. Smoothed using the loess method.

Raw_LFD_estimates

A data frame of where the first column is a time sequence and second column is Local fractal dimension estimates.

Smoothed_LFD_estimates

A data frame of where the first column is a time sequence and second column is smoothed estimates of Local fractal dimension. Smoothed using the loess method.

Data

User provided time series.

Note

Since these are estimators of local characteristics, reliable results can only be obtained when a sufficiently large number of points is used.

See Also

plot.H_LFD, Hurst, LFD

Examples

TS <- data.frame("t"=seq(0,1,length = 1000),"X(t)" = rnorm(1000))
Object <- H_LFD(TS)
#Plot of time series, estimated and smoothed Hurst and LFD estimates
plot(Object)

Rmfrac documentation built on Sept. 10, 2025, 10:31 a.m.