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
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")For a quickstart guide, see this vignette.