[R] Hurst Exponent Estimation

Lorenzo Isella lorenzo.isella at gmail.com
Mon Jul 19 11:11:03 CEST 2010


Dear All,
I am a novice when it comes to time-series analysis and at the moment I
am actually interested in calculating the Hurst exponent of a time
series. 
This question has already been asked quite some time ago

http://bit.ly/98dZsi

and I trust some progress has been made ever since.
I was able to find some functions in the packages 

http://cran.r-project.org/web/packages/Rwave/index.html and 
http://cran.r-project.org/web/packages/fArma/index.html

Allegedly, there should be functions for this in the Rtisean package

http://cran.r-project.org/web/packages/RTisean/index.html

but I have not been able to find them.
Bottom line: if you have a time series (list of empirical data of
varying length and not necessarily sampled on a uniform time grid) what
R tool would you use to estimate its Hurst exponent?
Any suggestion is appreciated.
Cheers

Lorenzo



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