[R-SIG-Finance] [R] regarding chaos

[Diethelm Wuertz]

gyadav at ccilindia.co.in wrote:

>hi all,
>
>I have a simple question that does power spectral analysis related to 
>capacity dimension, information dimension, lyapunov exponent, hurst 
>exponent.
>  
>
Hurst Aanalysis is implemented in fSeries from Rmetrics.
The following functions are available:

###############################################################################
# PART I: Simulation
# FUNCTIONS:            FRACTIONAL BROWNIAN MOTION:
#  fbmSim                Generates fractional Brownian motion
#                         Available Methods:
#                          Numerical approximation of the stochastic 
integral
#                          Choleki's decomposition of the covariance matrix
#                          Method of Levinson
#                          Method of Wood and Chan
#                          Wavelet synthesis
# FUNCTIONS:            FRACTIONAL GAUSSIAN NOISE:
#  fgnSim                Generates fractional Gaussian noise
#                         Available Methods:
#                          Durbin's Method
#                          Paxson's Method
#                          Beran's Method
# FUNCTIONS:            FARIMA PROCESS:
#  farimaSim             Generates FARIMA time series process
################################################################################


################################################################################
# PART II: Reimplemented functions from Beran's SPlus Scripts
# FUNCTIONS:            DESCRIPTION:
#  farimaTrueacf         Returns FARMA true autocorrelation function
#  farimaTruefft         Returns FARMA true fast Fourier transform
#  fgnTrueacf            Returns FGN true autocorrelation function
#  fgnTruefft            Returns FGN true fast Fourier transform
# FUNCTIONS:            WHITTLE ESTIMATOR:
#  whittleFit            Whittle Estimator
################################################################################


################################################################################
# PART III: Reimplemented SPlus/C functions from
#   Taqqu M.S, Teverovsky V, Willinger W.
#   Estimators for Long-Range Dependence: An Empirical Study
#   Fractals, Vol 3, No. 4, 785-788, 1995
# FUNCTIONS:          HURST EXPONENT:
#  'fHURST'            S4 Class Representation
#   print.fHURST        S3 Print Method
#   plot.fHURST         S3 Plot Method
#  aggvarFit               Aggregated variance method
#  diffvarFit              Differenced aggregated variance method
#  absvalFit               Absolute values (moments) method
#  higuchiFit              Higuchi's method
#  pengFit                 Peng's or Residuals of Regression method
#  rsFit                   R/S method
#  perFit                  Periodogram and cumulated periodogram method
#  boxperFit               Boxed (modified) peridogram method
#  whittleFit              Whittle estimator -> PART II
#  hurstSlider         Hurst Slider
################################################################################


Diethelm Wuertz

>If yes then please show me the way. I am newbie in the world of chaos.
>
>   Sayonara With Smile & With Warm Regards :-)
>
>  G a u r a v   Y a d a v
>  Senior Executive Officer,
>  Economic Research & Surveillance Department,
>  Clearing Corporation Of India Limited.
>
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>
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