On Thu, Jun 24, 2010 at 10:55 AM, Mogei Wang <mogeiwang@gmail.com> wrote:

> In short, how to estimate the Hurst exponent in a stable and effective way?
>

You can try hillPlot() in the fExtremes package.

Benoit Mandelbrot has been seeking an answer to the question that you ask
here for 50 years, and there is still no consensus on the answer. There is
an
elegant asymptotic theory, but it requires that you consider observations
above a large cut-off (so you are in the tail), but the cut-off cannot be so
large
that there are very few observations in the tail. This is very difficult to
implement
with a limited number of noisy observations.

Dominick

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