Hurvich-Deo estimate of number of frequencies to use in a periodogram regression

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Description

Estimates the number of frequencies to use in a periodogram regression estimate of the Hurst parameter H of a long memory time series. Based on estimated spectrum of time series.

Usage

1
HDEst(NFT, sdf, A=0.3, delta=6/7)

Arguments

NFT

number of points used in the Fourier transform to generate the spectrum.

sdf

estimate of the spectrum of the time series (power, NOT dB).

A

parameter A of Hurvich-Deo model. Default: 0.3 (recommended).

delta

parameter delta of Hurvich-Deo model. Default: 6/7 (recommended).

Value

estimated optimum number of frequencies "m" to use in a periodogram regression estimate of the Hurst parameter H.

References

C.M. Hurvich and R.S. Deo (1999), Plug-in Selection of the Number of Frequencies in Regression Estimates of the Memory Parameter of a Long Memory Time Series, J. Time Series Analysis, 20(3), 331–341.

See Also

hurstBlock.

Examples

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S <- sapa::SDF(beamchaos)
HDEst(NFT=length(S),as.vector(S))

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