quadvar {FieldSim} | R Documentation |
The function quadvar
yields the estimation of the Hurst parameter of a fractional Brownian field
by the quadratic variations method.
quadvar(Z)
Z |
a matrix of size (n x n). Z is the matrix associated with the sample path of one
fractal Brownian field. n must be of the form 2^{J}+1 where J is a positive integer.
So Z [i,j] is the value of the process at the point ((i-1)2^{-J},(j-1)2^{-J}).
|
The Hurst parameter of the fractal Brownian field is estimated by the procedure described in Istas and Lang (1997).
H |
a real in ]0,1[ that represents the estimate of the Hurst parameter of the fractional Brownian field. |
Alexandre Brouste (http://ljk.imag.fr/membres/Alexandre.Brouste) and Sophie Lambert-Lacroix (http://ljk.imag.fr/membres/Sophie.Lambert).
J. Istas and G. Lang (1997). Quadratic variations and estimation of the local Holder index of a Gaussian process. Annales Institut Henri Poincaré *33* 407-436.
# load FieldSim library library(FieldSim) # Simulation # H=0.3 res <- midpoint(H=0.3,nblevel=8) # Estimation quadvar(Z=res$Z)