liftLRD

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Wavelet Lifting Estimators of the Hurst Exponent for Regularly and Irregularly Sampled Time Series

Matt Nunes, Marina I. Knight

Last update: 17 September 2023

Copyright license: GNU General Public License, version 2.0

Software version identifier: 1.0-8, 1.0-5, 1.0-6, 1.0-7, 1.0-9

Source code repository: https://github.com/cran/liftLRD

Description

Implementations of Hurst exponent estimators based on the relationship between wavelet lifting scales and wavelet energy of Knight et al (2017) <doi:10.1007/s11222-016-9698-2>.

Cites work

• A wavelet lifting approach to long-memory estimation

Cited In (2)

• CliftLRD
• Long memory estimation for complex-valued time series

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