MaxLikelihood {FracKrigingR} | R Documentation |
Maximum likelihood method for Hurst parameter estimation of multivariate data
MaxLikelihood(X, Z)
X |
Coordinates |
Z |
Observations |
Returns the estimate of the Hurst parameter (a real in [0,1)) and a graph indicating the minimized maximum likelihood function with the Hurst parameter.
# Load FracKrigingR library
library(FracKrigingR)
# generate Coordinates
p<-2; K<-20;
X<-matrix(0,ncol=p, nrow=K)
for(j in 1:p){
for(i in 1:K){
X[i,j] = rnorm(1, 0, 1)
}
}
# generate fractional Brownian vector field
H <- 0.8; m <- 3
Z<-FracField(K,m,H,X)
# Hurst parameter estimation
MaxLikelihood(X,Z)