HKprocess (version 0.1-1)

lssd: 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))

Value

Vector of LSSD estimates of σ

and H.

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

Author

Hristos Tyralis

References

Koutsoyiannis D (2003) Climate change, the Hurst phenomenon, and hydrological statistics. Hydrological Sciences Journal 48(1):3--24. tools:::Rd_expr_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. tools:::Rd_expr_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)