| lssd {HKprocess} | R Documentation |
LSSD estimation for the HKp parameters.
Description
The function lssd is used to estimate the σ and H parameters of the HKp, using the LSSD (Least Squares based on Standard Deviation) method as described in Koutsoyiannis (2003) and Tyralis and Koutsoyiannis (2011, Section 2.3).
Usage
lssd(data, k1, p = 2, q = 0, interval = c(0.001, 0.999))
Arguments
data |
time series data |
k1 |
maximum aggregation scale |
p |
Parameter used to determine the weights |
q |
Parameter used to determine the penalty factor |
interval |
H interval estimation |
Value
Vector of LSSD estimates of σ and H.
Author(s)
Hristos Tyralis
References
Koutsoyiannis D (2003) Climate change, the Hurst phenomenon, and hydrological statistics. Hydrological Sciences Journal 48(1):3–24. doi:10.1623/hysj.48.1.3.43481.
Tyralis H, Koutsoyiannis D (2011) Simultaneous estimation of the parameters of the Hurst-Kolmogorov stochastic process. Stochastic Environmental Research & Risk Assessment 25(1):21–33. doi:10.1007/s00477-010-0408-x.
Examples
# Estimate the parameters for the Nile time series.
lssd(data = Nile, k1 = floor(length(Nile)/10), p = 2)