Description Details Author(s) References
Implementations of Hurst exponent estimators based on the relationship between wavelet lifting scales and wavelet energy
Package information:
Package: | liftLRD |
Type: | Package |
Version: | 1.0-7 |
Date: | 2018-05-21 |
License: | GPL-2 |
This package exploits a wavelet transform for irregularly spaced data to form wavelet-like scale-based energy measures for a time series. This is then used to estimate the Hurst exponent. The main routine is
liftHurst
Marina Knight, Guy Nason, Matt Nunes
Maintainer: Matt Nunes <nunesrpackages@gmail.com>
Knight, M. I, Nason, G. P. and Nunes, M. A. (2017) A wavelet lifting approach to long-memory estimation. Stat. Comput. 27 (6), 1453–1471. DOI 10.1007/s11222-016-9698-2.
For related literature on the lifting methodology adopted in the technique, see
Nunes, M. A., Knight, M. I and Nason, G. P. (2006) Adaptive lifting for nonparametric regression. Stat. Comput. 16 (2), 143–159.
Knight, M. I. and Nason, G. P. (2009) A 'nondecimated' wavelet transform. Stat. Comput. 19 (1), 1–16.
For more information on long-memory processes, see e.g.
Beran, J. et al. (2013) Long-memory processes. Springer.
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