HurstK {FGN} | R Documentation |
The Hurst K provides a non-parametric estimate for the Hurst H coefficient
HurstK(z)
z |
time series vector |
There are many alternative non-parametric estimators for H. Some of the popular ones are discussed in Hipel and McLeod (2005).
an estimate of H
A.I. McLeod
Hipel, K.W. and McLeod, A.I., (2005). Time Series Modelling of Water Resources and Environmental Systems. Electronic reprint of our book orginally published in 1994. http://www.stats.uwo.ca/faculty/aim/1994Book/.
McLeod, A.I., Yu, Hao, Krougly, Zinovi L. (2007). Algorithms for Linear Time Series Analysis, Journal of Statistical Software.
# the Hurst coefficient for NID series is 0.5 z<-rnorm(1000) HurstK(z) #Hurst K for Nile Minima data(NileMin) HurstK(NileMin)