[R] Long Range Dependence: Hurst exponent estimation

Martin Maechler maechler at stat.math.ethz.ch
Tue Aug 5 10:42:01 CEST 2008

>>>>> "tiu" == tolga i uzuner <tolga.i.uzuner at jpmorgan.com>
>>>>>     on Mon, 4 Aug 2008 20:04:15 +0100 writes:

    tiu> Dear R Users, Can anyone point me to a package for R
    tiu> vrsion 2.7.1 which implements some Hurst exponent
    tiu> estimation methods ?

o  fracdiff -- has been the first package to do so,

o  fArma   --   reimplementation (from the "Rmetrics" suite)
   	   	of fracdiff and much more

o  longmemo --  has FEXPest () of Beran

Martin Maechler, 
ETH Zurich

    tiu> Thanks in advance, Tolga

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