Hi Martin/Fellow R Users,

Here is some sample code I am considering:

hurst<-function(x){
result<-NA
try({
rshurst<-NA
aggvarhurst<-NA
whittlehurst<-NA
diffvarFit<-NA
higuchiFit<-NA

try({rshurst<-rsFit(x)@hurst$H; if((rshurst>1) || (rshurst<0)) 
rshurst<-NA},silent=TRUE)
try({aggvarhurst<-aggvarFit(x)@hurst$H; if((aggvarhurst>1) || 
(aggvarhurst<0)) aggvarhurst<-NA},silent=TRUE)
try({whittlehurst<-whittleFit(x)@hurst$H; if((whittlehurst>1) || 
(whittlehurst<0)) whittlehurst<-NA},silent=TRUE)
try({diffvarhurst<-diffvarFit(x)@hurst$H; if((diffvarhurst>1) || 
(diffvarhurst<0)) diffvarhurst<-NA},silent=TRUE)
try({higuchihurst<-higuchiFit(x)@hurst$H; if((higuchihurst>1) || 
(higuchihurst<0)) higuchihurst<-NA},silent=TRUE)
 
result<-median(c(rshurst,aggvarhurst,whittlehurst,diffvarhurst,higuchihurst),na.rm=TRUE)
})
result
}

Nothing too fancy.

The questions are:
- is something similar to this implemented in R
- are there any established results for estimating the Hurst exponent this 
way (i.e. as the median of multiple estimtes) ?

Thanks




Martin Maechler <maechler@stat.math.ethz.ch> 
08/08/2008 18:02
Please respond to
Martin Maechler <maechler@stat.math.ethz.ch>


To
tolga.i.uzuner@jpmorgan.com
cc
r-sig-finance@stat.math.ethz.ch
Subject
Re: [R-SIG-Finance] reliable Hurst exponent estimation






>>>>> "tiu" == tolga i uzuner <tolga.i.uzuner@jpmorgan.com>
>>>>>     on Fri, 8 Aug 2008 13:18:20 +0100 writes:

    tiu> Dear R Finance Users, I am trying to reliably estimate
    tiu> the Hurst exponent using the ***fit functions in
    tiu> fArma. The estimates appear to be substantially
    tiu> different depending on the estimator used and in some
    tiu> cases, are outside the bounds of 0 and 1.

    tiu> I was wondering if anyone has considered in detail
    tiu> whether a "meta" estimator in which one takes the
    tiu> median amongst all estimators after excluding any which
    tiu> do not fall into the [0,1] range has any known
    tiu> statistical properties ? Any other recommendations also
    tiu> welcome.

    tiu> Thanks in advance, Tolga

And where is the small reproducible example code?

What does fracdiff give?



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