[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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