[R] Fractional brownian motion

[RABINOVITCH Peter]

You have applied the Hurst parameter estimating function to the fBm, not
the fGn as described in the help page for Long Range Dependence
Modelling in fSeries.

"The function aggvarFit computes the Hurst exponent from the variance of
an aggregated FGN or FARIMA time series process"

Trying perFit(diff(x)) (where x is your fBm series) gives an estimate of
the Hurst Exponent as 0.53527922 

-----Original Message-----
From: r-help-bounces at stat.math.ethz.ch
[mailto:r-help-bounces at stat.math.ethz.ch] On Behalf Of ED
Sent: Wednesday, January 10, 2007 8:53 AM
To: r-help at stat.math.ethz.ch
Subject: [R] Fractional brownian motion

Dear All;

I have used fbmSim to simulate a fbm sequence, however, when I tried to
estimate the Hurst effect, none of the nine procedures gave me an answer
close enough to the real value, which is 0.5 (n=1000). So, would you
please advice,

1. which is the best method to estimate the H among the 9 mehods, R/S,
higuchi or Whittle?

2. how to choose the levels (default=50), minnpts, cutoff values or if
there is any other issues to consider? Would you please send your code
if you can get the right estimate for the attached dataset?

3. I also simulated multiple sequences, but some of the estimated
results have H>1, how would you explain this, and how to correct it.

4. if I have a sample size of 30, what are your suggestions for
estimating the hurst effect.

I really appreciate your help, and thanks in advance.

Sincerely;

Qing

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