
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.
HDEst(NFT, sdf, A=0.3, delta=6/7)
number of points used in the Fourier transform to generate the spectrum.
estimate of the spectrum of the time series (power, NOT dB).
parameter A of Hurvich-Deo model. Default: 0.3
(recommended).
parameter delta of Hurvich-Deo model. Default: 6/7
(recommended).
estimated optimum number of frequencies "m" to use in a periodogram regression estimate of the Hurst parameter H.
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.
# NOT RUN {
S <- sapa::SDF(beamchaos)
HDEst(NFT=length(S),as.vector(S))
# }
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