This method plots the logarithm of the periodogram of a process versus the
logarithm of the frequency. A least-squares line is fitted to the data, and the
slope provides an estimate of H.
A more detailed description.
There are several options for using the periodogram method.
- For the original periodogram, the routine plotper is used.
- The percentage of the data used in estimating H can be set
(percent). Default is 10%.
- Just an estimate can be obtained, or the graphical plot as well. The
latter is always recommended when an unknown series is being examined. The
former can be used in length simulation studies, etc. (plotflag,
default = YES)
- The averaged (cumulative) periodogram can be used via the routine
plot.av.per, with the same options as plotper.
- The modified periodogram can be used via the routine perbox.
It has the following options:
- (plotflag) as above.
- (nbox, default=100) is the number of boxes to divide the data into.
- (tempper, default = 1) is the fraction of points used in calculating slope.
- (percent, default = 1%) is percentage of points in the beginning not to put
- Continuous version of periodogram can be used. This calculates the
periodogram estimate of H for several values of percent , via the
- ( plotflag ) as above.
- ( i ) is the number of different values to use.
- ( mult ) Changes the spacing. tempper = length(data)/mult * (1:i).
- The routine per.theory.cont is as (4), but uses spectral
compute the theoretical plot of continuous version of periodogram.
- The routine cumper is the cumulative periodogram. Its
parameters are im, the inverse of the upper cut-off, and l,
the lower cut-off.