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Hi, Can u please tell me which all packages do i need to install to estimate the hurst parameter in R. I have tried installing all the possible options but still it doesnt work. basically i want to use 9 functions to estimate hurst parameter like aggvarfit, rsfit, etc. i will be very thankful if u could be of some help. -- Regards, Deepak Jadhav. [[alternative HTML version deleted]]

...from the following links to do Hurst exponent estimation. link: http://r-forge.r-project.org/plugins/scmsvn/viewcvs.php?rev=1&root=rmetrics&view=rev file: LongRangeDependence.R Take a look at the following run: > x<-(cos((1:200)/10)) > rsFit(diff(x,15))@hurst$H [1] 1.027420 > aggvarFit(diff(x,15))@hurst$H [1] 0.02301331 First of all, can anyone cast a light on the drastically different results (obviously, the R/S fit is just wrong) ? Further, can anyone recommend something which is more stable ? This code appears to be part of fSeries tho it doesnt appear if one installs and...

hi all, I have a simple question that does power spectral analysis related to capacity dimension, information dimension, lyapunov exponent, hurst exponent. 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

Dear All; I have used fbmSim to simulate a fbm sequence, however, when I tried to estimate the Hurst effect, none of the nine procedures gave me an answer close enough to the real value, which is 0.5 (n=1000). So, would you please advice, 1. which is the best method to estimate the H among the 9 mehods, R/S, higuchi or Whittle? 2. how to choose the levels (default=50), minnpts, cutoff values or