calculate_selfsimilarity: Generates the Hurst exponent of a ts object.

In mowomoyela/tstaxonomyr: A time series taxonomy to classify univariate or multivariate time series

Description

This is a function to measure the self similarity by the Hurst exponent of a time series object. As input is only required an object from the class time series. Otherwise the function returns an error message. Also, for na_option is only required the string 'mean' or'kalman' allowed. This means, that all na values are either replaced by the mean, or kalman imputation of the ts. The standard value of na_option is 'mean'. The code is adopted from Hyndman, Rob J. which provides him under: https://robjhyndman.com/hyndsight/tscharacteristics/

Usage

calculate_selfsimilarity(ts, na_option = "mean", nar = 0, nma = 0)

Arguments

ts	A time series object.
na_option	A string value containing either 'mean' or'kalman'; Standard values is 'mean'.
nar	Number of autoregressive parameters p.
nma	Number of moving average parameters q.

Value

The Hurst exponent of ts. If the above input params are wrong, an error message is returned.

Examples

calculate_selfsimilarity(ts = datasets::BJsales)

mowomoyela/tstaxonomyr documentation built on May 15, 2019, 4:47 p.m.