Thanks Gary. 

That package is a bit weird. When one installs and loads it up, you don't 
actually get any of those functions. One has to go to the following link:

http://r-forge.r-project.org/plugins/scmsvn/viewcvs.php?rev=1&root=rmetrics&view=rev

and then download and source the file LongRangeDependence.R to get the 
aggvar and rsFit functions to do Hurst exponent estimation.

 It appears to be the case that the fSeries package currently does not 
really have that functionality. Perhaps they meant to put it in there but 
decided to exclude it in the current release for some reason.

I have also cc'd the RMetrics group here to see if they can cast a light 
on this issue.

Thanks,
Tolga






"Ling, Gary \(Electronic Trading\)" <Gary_Ling@ml.com> 
04/08/2008 20:51

To
<tolga.i.uzuner@jpmorgan.com>
cc

Subject
RE: [R] Long Range Dependence: Hurst exponent estimation






Hi, you can try the "fSeries" package.
See this doc:
http://phase.hpcc.jp/mirrors/stat/R/CRAN/doc/packages/fSeries.pdf
-gary

-----Original Message-----
From: r-help-bounces@r-project.org [mailto:r-help-bounces@r-project.org]
On Behalf Of tolga.i.uzuner@jpmorgan.com
Sent: Monday, August 04, 2008 3:04 PM
To: r-help@r-project.org
Subject: [R] Long Range Dependence: Hurst exponent estimation


Dear R Users,

Can anyone point me to a package for R vrsion 2.7.1 which implements
some 
Hurst exponent estimation methods ?

Thanks in advance,
Tolga

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and it is not intended as an offer or solicitation for the purchase
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