pankajcivil / fracdet

An R package for the simultaneous estimation of deterministic and fractal components in non-stationary time series

fracdet: estimation of deterministic and fractal components in time series

What's fracdet?

fracdet is an R package implementing a simple, yet realistic, fractal-deterministic model that may be able to capture key features of complex time series. The package also provides functionality that, under the assumptions of this model, is able to characterize the fractal component and to provide an estimation of the deterministic components present in a given time series. All the theoretical background is detailed in the paper:

García, C.A., Otero, A., Félix, P., Presedo, J. & Márquez D.G., (2016). Simultaneous estimation of deterministic and fractal components in non-stationary time series, Physica D: Nonlinear Phenomena Volumes 374–375, 1 July 2018, Pages 45-57. link

Installation

fracdet is not currently available on CRAN, but it may be installed directly from github using devtools.

library("devtools")
install_version("FGN", "2.0-12")
install_github("citiususc/fracdet")

Quickstart

For a quickstart guide, see this vignette.