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RandomFields (version 3.0.35)

RFhurst: Hurst coefficient

Description

The function estimates the Hurst coefficient of a process

Usage

RFhurst(x, y = NULL, z = NULL, data, sort = TRUE,
 block.sequ = unique(round(exp(seq(log(min(3000, dimen[1]/5)),
 log(dimen[1]),
 len = min(100, dimen[1]))))),
 fft.m = c(1, min(1000, (fft.len - 1)/10)),
 fft.max.length = Inf, method = c("dfa", "fft", "var"),
 mode = c("plot", "interactive"),
 pch = 16, cex = 0.2, cex.main = 0.85,
 printlevel = RFoptions()$general$printlevel, height = 3.5,
 ...)

Arguments

x
matrix of coordinates, or vector of x coordinates
y
vector of y coordinates
z
vector of z coordinates
data
the data
sort
logical. If TRUE then the coordinates are permuted such that the largest grid length is in x-direction; this is of interest for algorithms that slice higher dimensional fields into one-dimensional sections.
block.sequ
ascending sequences of block lengths for which the detrended fluctuation analysis and the variance method is performed.
fft.m
vector of 2 integers; lower and upper endpoint of indices for the frequency which are used in the calculation of the regression line for the periodogram near the origin.
fft.max.length
if the number of points in x-direction is larger than fft.max.length then the segments of length fft.max.length are considered, shifted by fft.max.length/2 (WOSA-estimator).
method
list of implemented methods to calculate the Hurst parameter; see Details
mode
character. A vector with components 'nographics', 'plot', or 'interactive': [object Object],[object Object],[object Object] Usually only one mode is given. Two modes may make sense in the combination c("plot", "in
pch
vector or scalar; sign by which data are plotted.
cex
vector or scalar; size of pch.
cex.main
font size for title in regression plot; only used if mode includes 'plot' or 'interactive'
printlevel
integer. If printlevel is 0 or 1 nothing is printed. If printlevel=2 warnings and the regression results are given. If printlevel>2 tracing information is given.
height
height of the graphics window
...
graphical arguments

Value

  • The function returns a list with elements dfa, varmeth, fft corresponding to the three methods given in the Details. Each of the elements is itself a list that contains the following elements.
  • xthe x-coordinates used for the regression fit
  • ythe y-coordinates used for the regression fit
  • regrthe coefficients of the lm.
  • smsmoothed curve through the (x,y) points
  • x.uNULL or the restricted x-coordinates given by the user in the interactive plot
  • y.uNULL or y-coordinates according to x.u
  • regr.uNULL or the coefficients of lm for x.u and y.u
  • Hthe Hurst coefficient
  • H.uNULL or the Hurst coefficient corresponding to the user's regression line

Details

The function is still in development. Several functionalities do not exist - see the code itself for the current stage.

The function calculates the Hurst coefficient by various methods:

  • detrended fluctuation analysis (dfa)
  • aggregated variation (var)
  • periodogram or WOSA estimator (fft)

References

detrended fluctuation analysis
  • Peng, C.K., Buldyrev, S.V., Havlin, S., Simons, M., Stanley, H.E. and Goldberger, A.L. (1994) Mosaic organization of DNA nucleotidesPhys. Rev. E49, 1685-1689

aggregated variation

  • Taqqu, M.S. and Teverovsky, V. (1998) On estimating the intensity of long range dependence in finite and infinite variance time series. In: Adler, R.J., Feldman, R.E., and Taqqu, M.S.A Practical Guide to Heavy Tails, Statistical Techniques an Applications.Boston: Birkhaeuser
  • Taqqu, M.S. and Teverovsky, V. and Willinger, W. (1995) Estimators for long-range dependence: an empirical study.Fractals3, 785-798

periodogram

  • Percival, D.B. and Walden, A.T. (1993)Spectral Analysis for Physical Applications: Multitaper and Conventional Univariate Techniques, Cambridge: Cambridge University Press.
  • Welch, P.D. (1967) The use of {F}ast {F}ourier {T}ransform for the estimation of power spectra: a method based on time averaging over short, modified periodogramsIEEE Trans. Audio Electroacoustics15, 70-73.

See Also

RMmodel, RFfractaldim

Examples

Run this code
RFoptions(seed=0) ## *ANY* simulation will have the random seed 0; set
##                   RFoptions(seed=NA) to make them all random again
.randomfields.options = options()$warn; options(warn=0)
x <- runif(1000)
if (interactive()) {
 h <- RFhurst(1:length(x), data=x)
} else {
 h <- RFhurst(1:length(x), data=x, mode = "nographics")
}
options(warn = .randomfields.options)

FinalizeExample()

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