RoverS {fractal} | R Documentation |
The series is partitioned into m groups. The R/S statistic is computed as described in the references, the number of groups is increased, and the calculation is repeated. A log-log plot of R/S versus number of groups is, ideally, linear, with a slope related to H, so H can be determined by linear regression.
RoverS(x, n.block.min=2, scale.ratio=2, scale.min=8)
x |
a vector containing a uniformly-sampled real-valued time series. |
n.block.min |
minimum number of blocks in partitioning the data. Must be at
least 2. Default: 2 . |
scale.min |
minimum number of data values allowed in a block This may be restricted so
the statistic evaluated within each group is from a reasonable sample.
Default: 8 . |
scale.ratio |
ratio of successive scales to use in partitioning the data. For example,
if scale.min=8 and scale.ratio=2 , the first scale will be 8, the second scale 16, the
third scale 32, and so on. Default: 2 . |
estimated Hurst parameter H of the time series.
B.B. Mandelbrot and J.R. Wallis (1969), Water Resources Research, 5, 228–267.
See summary in M.S. Taqqu and V. Teverovsky (1998), On Estimating the Intensity of Long-Range Dependence in Finite and Infinite Variance Time Series, in A practical Guide to Heavy Tails: Statistical Techniques and Applications, 177–217, Birkhauser, Boston.
hurstBlock
, hurstACVF
, dispersion
.
RoverS(ocean)