liftLRD (version 1.0-9)

liftLRD-package: Wavelet lifting estimators of the Hurst exponent for regularly and irregularly sampled time series

Description

Implementations of Hurst exponent estimators based on the relationship between wavelet lifting scales and wavelet energy

Author

Marina Knight, Guy Nason, Matt Nunes

Maintainer: Matt Nunes <[e-mail]>

Details

This package exploits a wavelet transform for irregularly spaced data to form wavelet-like scale-based energy measures for a time series. This is then used to estimate the Hurst exponent. The main routine is

liftHurst

References

Knight, M. I, Nason, G. P. and Nunes, M. A. (2017) A wavelet lifting approach to long-memory estimation. Stat. Comput. 27 (6), 1453--1471. DOI 10.1007/s11222-016-9698-2.

For related literature on the lifting methodology adopted in the technique, see

Nunes, M. A., Knight, M. I and Nason, G. P. (2006) Adaptive lifting for nonparametric regression. Stat. Comput. 16 (2), 143--159.

Knight, M. I. and Nason, G. P. (2009) A 'nondecimated' wavelet transform. Stat. Comput. 19 (1), 1--16.

For more information on long-memory processes, see e.g.

Beran, J. et al. (2013) Long-memory processes. Springer.