H.test {FieldSim} | R Documentation |
The function H.test
performs the test "the Hurst parameter of Z is
equal to H" against the alternative hypothesis.
H.test(Z,H,alternative="two.sided",conf.level=0.95)
Z |
a matrix of size (n x n). Z is the matrix associated with the sample path of one
fractional 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}). |
H |
a real in ]0,1[. H is the Hurst parameter of the fractional Brownian
field to be tested. |
alternative |
a character string specifying the alternative hypothesis, must be one of '"two.sided"' (default), '"greater"' or '"less"'. |
conf.level |
confidence level of the interval |
The test is build using the asymptotic distribution of the quadratic variations given in Brouste et al. (2006)
A list with the following components:
statistic |
the value of the test statistic, |
p.value |
the p-value for the test, |
conf.int |
a confidence interval for the Hurst parameter, |
gamma2 |
the constant of the variance used in the test. |
Alexandre Brouste (http://ljk.imag.fr/membres/Alexandre.Brouste) and Sophie Lambert-Lacroix (http://ljk.imag.fr/membres/Sophie.Lambert).
A. Brouste, J. Istas and S. Lambert-Lacroix (2007). On Gaussian random fields simulations.
# load FieldSim library library(FieldSim) # Simulation # H=0.3 res <- midpoint(H=0.3,nblevel=8) # Test "H=0.3" against "H!=3" H.test(res$Z,H=0.3)