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HKprocess (version 0.1-1)

Hurst-Kolmogorov Process

Description

Methods to make inference about the Hurst-Kolmogorov (fractional Gaussian noise, fGn) and the AR(1) process. Related time series trend tests are also included.

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Version

Install

install.packages('HKprocess')

Monthly Downloads

55

Version

0.1-1

License

GPL-3

Maintainer

Hristos Tyralis

Last Published

October 26th, 2022

Functions in HKprocess (0.1-1)

ltzb

Value of quadratic forms for the inverse of a symmetric positive definite autocorrelation matrix.
ltza

Value of quadratic forms for the inverse of a symmetric positive definite autocorrelation matrix.
infermsfmetrop

Bayesian inference for μ and σ^2 for the AR(1) process.
ltzc

Value of quadratic forms for the inverse of a symmetric positive definite autocorrelation matrix.
ltzd

Value of quadratic forms for the inverse of a symmetric positive definite autocorrelation matrix.
mlear1

Maximum likelihood estimation for the AR(1) parameters.
mleHK

Maximum likelihood estimation for the HKp parameters.
lssd

LSSD estimation for the HKp parameters.
lsv

LSV estimation for the HKp parameters.
inferH

Posterior distribution of the H parameter of the HKp using an Accept-Reject algorithm.
MannKendallLTP

Mann-Kendall trend test under the scaling hypothesis.
acfHKp

Autocorrelation of HKp
inferHmetrop

Posterior distribution of the H parameter of the HKp, using a Metropolis algorithm.
infermsmetrop

Bayesian inference for μ and σ^2 for the HKp.
inferfmetrop

Posterior distribution of the φ parameter of the AR(1) process, using a Metropolis algorithm.
inferf

Posterior distribution of the φ parameter of the AR(1) process, using an Accept-Reject algorithm