HDEst {fractal} | R Documentation

## Hurvich-Deo estimate of number of frequencies to use in a periodogram regression

### Description

Estimates the number of frequencies to use in a periodogram regression estimate of the Hurst parameter H of a long memory time series. Based on estimated spectrum of time series.

### Usage

    HDEst(NFT, sdf, A=0.3, delta=6/7)

### Arguments

`NFT` | number of points used in the Fourier transform to generate the spectrum.
`sdf` | estimate of the spectrum of the time series (power, NOT dB).
`A` | parameter A of Hurvich-Deo model. Default: `0.3` (recommended).
`delta` | parameter delta of Hurvich-Deo model. Default: `6/7` (recommended).

### Value

estimated optimum number of frequencies "m" to use in a periodogram regression estimate of the Hurst parameter H.

### References

C.M. Hurvich and R.S. Deo (1999), Plug-in Selection of the Number of Frequencies in Regression Estimates of the Memory Parameter of a Long Memory Time Series, J. Time Series Analysis, 20(3), 331–341.

### See Also

`hurstBlock`.

### Examples

    S <- SDF(beamchaos)
    HDEst(NFT=length(S),as.vector(S))

[Package fractal version 1.0-1 Index]