[R] Hurst Exponent Estimation

[Spencer Graves]

  Have you tried something like the following:


library(sos)
H <- ???Hurst
summary(H)
H


       This identified 50 links in 15 packages, and displayed the 
results in a table in a web browser with links to the best match in the 
best package first.  The "installPackages" and "writeFindFn2xls" 
functions are designed to produce an Excel file with a summary page that 
can help you identify the package that seems to be most actively 
maintained among the relevant packages, as explained in a vignette.


       Hope this helps.
       Spencer Graves


On 7/22/2010 12:25 AM, Hans W Borchers wrote:
> Lorenzo Isella<lorenzo.isella<at>  gmail.com>  writes:
>> 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.
>
> Some time ago I tested some of the classical chaotic time series
> (such as the logistic map and others, no financial time series) with
> available functions in R and Matlab. In my experience, Peng's method
> (realized in R as fArma::pengFit) works reasonably reliable and is
> more accurate than most others on these series.
>
> Unfortunately, the available R and Matlab implementations of the same
> method -- and refering back to the same literature article -- can give
> quite different results, with varying success for both sides.
>
> AFAIK, in TISEAN there is no function estimating the Hurst exponent.
>
> Regards
> Hans Werner
>
>
>> 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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Spencer Graves, PE, PhD
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