R/hurstExponent.R

In zlfccnu/econophysics: Functions for econophysics

#' Function used to calculate the generalized hurst exponent
#' @param x  a numeric vector which convert from a time series
#' @param nVec  the time scale of the detrended operation, the minmum scale should be determined by calculate the autocorrelation length of the time series.
#' @param sampleNum the random sampled number
#' @param thread the parallel thread number
#' @param qVec the qth order
#' @param detrendOrder the detrending polynomial order
#' @param sampleMethod 1 means the determined sample number method, other values mean the nonoverlap method
#' @return the generalized hurst exponent,a data.frame
#' @export
hurstExponent<- function(x,nVec=NULL,sampleNum=NULL,thread=3,qVec=c(-5:5),detrendOrder=3,sampleMethod=2,lengthRatio=0.05){
  require(parallel)
  dfa_fluctuation = F_DFA(x=x,nVec = nVec,qVec = qVec,thread = thread,sampleNum = sampleNum ,detrendOrder=detrendOrder,sampleMethod=sampleMethod,lengthRatio=lengthRatio)
  registerDoMC(thread)
  hurst=foreach(i= 2:(dim(dfa_fluctuation)[2]),.combine = c)%dopar%{
    dfaLM = lm(log(dfa_fluctuation[,i])~log(dfa_fluctuation[,1]))
    return(as.numeric(dfaLM$coefficients[2]))
  }
  return(cbind(qVec,hurst))
}