[R] Whittle's Estimator of Hurst Parameter
Peter Rabinovitch
peter.rabinovitch at alcatel.com
Tue Feb 5 16:18:31 CET 2002
Has anybody written R code to estimate the Hurst parameter via Whittle's
method? In particular, I am looking to get a confidence interval on the
Hurst parameter.
I have tried adapting Taqqu's S+ code, but I keep running into
issues.....
Any pointers and/or code available?
Thanks much.
--
Peter Rabinovitch
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