Abbe function

A function to compute Abbe values

Calculates "Abbe" values.

Abbe(x)

Arguments

• x: A time series

Returns

Abbe value

Details

"Abbe" values quantify the degree of smoothness of a time series. Decreases to zero for very smooth time series, tends to unity for purely white noise. Following Tarnopolski et al. Physica A 461 (2016) 662-673.

Examples

x = arima.sim(model=list(ar = 0.3), n = 10^4)
Abbe(x)

References

Tarnopolski et al. (2016), Physica A 461, 662-673.

Author(s)

Sebastian Sippel