hurstACVF: Estimate the Hurst coefficient by regression of scaled asinh...
In wconstan/fractal: A Fractal Time Series Modeling and Analysis Package

Description Usage Arguments Details Value References See Also Examples

Estimates long memory parameters beta (ACVF decay exponent), alpha (Equivalent PPL model spectral density exponent), and H (Equivalent Hurst parameter) by linear regression of scaled asinh of ACVF versus log(lag) over intermediate lag values.

1	hurstACVF(x, Ascale=1000, lag.min=1, lag.max=64)

`x`	a vector containing a uniformly-sampled real-valued time series.
`Ascale`	scale factor for use in the scaled asinh plot. Default: `1000`.
`lag.max`	maximum lag for use in linear regression. Default: `64`.
`lag.min`	minimum lag for use in linear regression. Default: `1`.

Evaluates autocovariance function (ACVF) of input time series by call to S-Plus function acf. Constructs sequence asinh(Ascale * ACVF) / asinh(Ascale) and does linear regression (via S-Plus function "lsfit") of this sequence versus log(lag) from lag.min to lag.max. Draws a plot of the sequence and the fit line. Recommended usage: look at resulting plot. Is the intermediate range approximately linear? If plot is too flat, decrease Ascale. If it decreases to zero too quickly, increase Ascale. Values of Ascale from 10 to 10^6 have been found useful. If lag.min and lag.max do not bound the range where the sequence is approximately linear then change them and rerun the function to produce a better fit.

a list with three components:

`beta`	decay exponent of autocovariance function
`alpha`	spectral density exponent of equivalent PPL model
`H`	Hurst exponent for equivalent ACVF decay rate

A. G. Gibbs and D. B. Percival, Forthcoming paper on the autocovariance of the PPL (pure power law) model. A section of the paper discusses the usefulness of scaled asinh plots.

hurstBlock.