tauest: Estimate the AR1 persistence time

In krehfeld/nest: Non-equally spaced time series analysis

Description

Estimate the AR1 persistence time

Usage

tauest(X,method="acf",deltas=mean(diff(index(X))))

Arguments

X	zoo object
method	"acf" or "ls"
deltas	reference time step

Value

An estimate of the persistence time

Author(s)

Kira Rehfeld

References

Mann, M. E., & Lees, J. M. (1996). Robust estimation of background noise and signal detection in climatic time series. Climatic change, 33(3), 409-445. Rehfeld, K., Marwan, N., Heitzig, J., & Kurths, J. (2011). Comparison of correlation analysis techniques for irregularly sampled time series. Nonlinear Processes in Geophysics.

Examples

dtx=1
X<-generate_ar1(list(generate_t()),phi=0.5)
tau=tauest(X,deltas=1,method="ls")
phi.est=exp(-1/tau);

krehfeld/nest documentation built on May 28, 2019, 12:33 a.m.