An extensive review and comparison of R Packages on the long-range dependence estimators

H. Tyralis, P. Dimitriadis, and D. Koutsoyiannis, An extensive review and comparison of R Packages on the long-range dependence estimators, Asia Oceania Geosciences Society (AOGS) 14th Annual Meeting, Singapore, HS06-A003, Asia Oceania Geosciences Society, 2017.

[doc_id=1721]

[English]

The long-range dependence (LRD) is a well-established property of climatic variables such as temperature and precipitation. A long list of estimators of the LRD parameters exist while a few comparison studies of their properties have been published. The emergence of R as one of the favourite programming languages among the hydrological community and its increasing number of packages enable the fast implementation of statistical methods in hydrological studies. Many R packages include functions for the estimation of the parameter, which characterizes the LRD, e.g. the Hurst parameter of the Hurst-Kolmogorov behaviour or the d parameter of the ARFIMA model. Here we present an extensive review of all R packages containing functions used to estimate the LRD parameter. Furthermore, we examine the properties of the implemented estimators and we perform an extended simulation experiment to compare them.