HurstK: Hurst K Coefficient

Description

The Hurst K provides a non-parametric estimate for the Hurst H coefficient

Usage

HurstK(z)

Arguments

time series vector

Value

an estimate of H

Details

There are many alternative non-parametric estimators for H. Some of the popular ones are discussed in Hipel and McLeod (2005).

References

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.

Examples

Run this code

# the Hurst coefficient for NID series is 0.5
z<-rnorm(1000)
HurstK(z)
#Hurst K for Nile Minima
data(NileMin)
HurstK(NileMin)

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