Nile overflow data
Nile overflow data 1871–1984, gathered mostly by H. E. Hurst.
data("nile")A data frame with 114 years of observations during the months Jan to Dec.
Monthly flow data taken at the Dongola measurement station just upstream from the high dam at Aswan.
R. Weron (2001). Estimating long range dependence: finite sample properties and confidence intervals. arXiv.org:cond-mat0103510.pdf .
data(nile) # loads "nile" data frame
## Not run:
nile_dt <- nile[, 2:13] # erase the "years" column
# plot all years in one figure
plot(ts(nile_dt), plot.type="single")
# merge all years in one time series
nile_ts <- ts( c(t(nile[, 2:13])), frequency = 12, start = c(1871, 1) )
# aggregated flow per year
nile_flow <- apply(nile_dt, 1, sum)
plot(ts(nile_flow, frequency = 1, start = 1871) / 1000,
col = "darkblue", lwd = 2.0,
main = "Nile flows 1871 - 1984", ylab = "Flow / 1000")
grid()
# Hurst exponent of yearly Nile flow
hurstexp(nile_flow)
# Simple R/S Hurst estimation: 0.7348662
# Corrected R over S Hurst exponent: 1.041862
# Empirical Hurst exponent: 0.6975531
# Corrected empirical Hurst exponent: 0.7136607
# Theoretical Hurst exponent: 0.5244148
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