Simulation and Statistical Analysis of Multifractional Processes

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Documentation for package ‘Rmfrac’ version 0.1.1

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Rmfrac-package Rmfrac: Simulation and analysis of multifractional processes
Bbridge Simulation of Brownian bridge
Bm Simulation of Brownian motion
cov_GHBMP Covariance of Gaussian Haar-based multifractional processes
cross_mean Mean time between crossings
cross_rate Crossing rate
cross_T Estimated crossing times
est_cov Empirical covariance function
exc_Area Excursion area
FBbridge Simulation of fractional Brownian bridge
FBm Simulation of fractional Brownian motion
FGn Simulation of fractional Gaussian noise
GHBMP Simulation of Gaussian Haar-based multifractional processes
hclust_hurst Hierarchical clustering
Hurst Statistical estimation of the Hurst function
H_LFD Creates objects of class 'H_LFD'
kmeans_hurst K-means clustering
LFD Estimation of the local fractal dimension
long_streak Longest increasing/decreasing streak
mean_streak Mean time span of increasing/decreasing streaks
plot.hc_hurst Plot smoothed Hurst functions in each cluster with cluster centers
plot.H_LFD Plot the estimated Hurst functions and local fractal dimension estimates for objects of class 'H_LFD'
plot.k_hurst Plot smoothed Hurst functions in each cluster with cluster centers
plot.mp Plot Gaussian Haar-based multifractional processes with their theoretical and estimated Hurst functions and local fractal dimension
plot_tsest Plot the estimated Hurst functions and local fractal dimension estimates for a user provided time series
print.hc_hurst Print method for "hc_hurst" class objects
print.k_hurst Print method for "k_hurst" class objects
Rmfrac Rmfrac: Simulation and analysis of multifractional processes
RS_Index Relative strength index
shinyapp_sim Shiny app to visualise and analyse processes
sojourn Estimated sojourn measure
X_max Estimated maximum of a time series
X_min Estimated minimum of a time series