Hello,

I'm using fArma package to estimate the value of Hurst exponent using R/S
method. However, for a certain set of data I get H ~ 1.8. How do I
interpret this?

Following are the output that I get for this set:

> mean(data[,2])
[1] 400.5433
> sd(data[,2])
[1] 1139.786
>
> rsFit(data[,2], levels = 64)

Title:
 Hurst Exponent from R/S Method

Call:
 rsFit(x = data[, 2], levels = 64)

Method:
 R/S Method

Hurst Exponent:
         H     beta
  *1.826240 1.826240 *

Hurst Exponent Diagnostic:
   Estimate  Std.Err   t-value  Pr(>|t|)
X 1.826240 3.352896 0.5446755 0.5919988

Parameter Settings:
       n   levels  minnpts cut.off1 cut.off2
   11895       64        3        5      316

Description:
 Mon May  7 16:16:59 2012 by user:

Warning messages:
1: In rsFit(data[, 2], levels = 64) :
  Integer overflow in 'cumsum'; use 'cumsum(as.numeric(.))'
2: In (1:m) * Y[m] : NAs produced by integer overflow
3: In (1:m) * Y[m] : NAs produced by integer overflow
4: In (1:m) * Y[m] : NAs produced by integer overflow
5: In (1:m) * Y[m] : NAs produced by integer overflow
6: In lsfit(log10(M), log10(RS), wt) : 37 missing values deleted
>


-- 
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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