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

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. http://dx.doi.org/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)

Results

R version 3.3.1 (2016-06-21) -- "Bug in Your Hair"
Copyright (C) 2016 The R Foundation for Statistical Computing
Platform: x86_64-pc-linux-gnu (64-bit)

R is free software and comes with ABSOLUTELY NO WARRANTY.
You are welcome to redistribute it under certain conditions.
Type 'license()' or 'licence()' for distribution details.

R is a collaborative project with many contributors.
Type 'contributors()' for more information and
'citation()' on how to cite R or R packages in publications.

Type 'demo()' for some demos, 'help()' for on-line help, or
'help.start()' for an HTML browser interface to help.
Type 'q()' to quit R.

> library(HKprocess)
> png(filename="/home/ddbj/snapshot/RGM3/R_CC/result/HKprocess/lsv.Rd_%03d_medium.png", width=480, height=480)
> ### Name: lsv
> ### Title: LSV estimation for the HKp parameters.
> ### Aliases: lsv
> ### Keywords: ts
> 
> ### ** Examples
> 
> # Estimate the parameters for the Nile time series.
> 
> lsv(data = Nile,k1 = floor(length(Nile)/10),p = 6,q = 50)
sigma_estimate     H_estimate 
   198.1459274      0.8624724 
> 
> 
> 
> 
> 
> dev.off()
null device 
          1 
>