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.

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

`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: |

`delta` |
parameter delta of Hurvich-Deo model. Default: |

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

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.

1 2 |

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