Hello,

I'm using the fArma package to estimate Hurst exponent by R/S method. I've
some measurements in the following format:
Call_number  Call_duration

I'm using the following steps. Am new to R, so it would help if someone
could please confirm if my steps are correct.

Further, this method seems to give a value H ~= 0.8 (> 0.5). Is the use of
R/S method to estimate H OK?

> head(data, n=10)
   X1 X5402
1   2  1876
2   3  7653
3   4  2969
4   5  6215
5   6  2596
6   7  2434
7   8  1380
8   9   937
9  10  2047
10 11   712
>
> rsFit(data[,2])

Title:
 Hurst Exponent from R/S Method

Call:
 rsFit(x = data[, 2])

Method:
 R/S Method

Hurst Exponent:
          H      beta
  0.8030667 0.8030667

Hurst Exponent Diagnostic:
    Estimate    Std.Err  t-value     Pr(>|t|)
X 0.8030667 0.05039722 15.93474 4.643595e-17

Parameter Settings:
       n   levels  minnpts cut.off1 cut.off2
  227656       50        3        5      316

Description:
 Sun May  6 22:07:43 2012 by user:

There were 14 warnings (use warnings() to see them)

-- 
Thanks,
Barun Saha
JPA
IIT, Kharagpur

http://pothi.com/pothi/book/barun-saha-swapner-kheya
http://delay-tolerant-networks.blogspot.com/p/one-tutorial.html

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