lsv {HKprocess}

LSV estimation for the HKp parameters.

Description

The function lsv is used to estimate the σ and H parameters of the HKp, using the LSV (Least Squares based on Variance) method as described in Tyralis and Koutsoyiannis (2011, Section 2.4).

Usage

lsv(data, k1, p = 6, 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 LSV estimates of σ and H.

Author(s)

Hristos Tyralis

References

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.

lsv(data = Nile, k1 = floor(length(Nile)/10), p = 6, q = 50)