>>>>> "CathW" == Xiaozhe Wang <Catherine.Wang at
infotech.monash.edu.au>
>>>>> on Fri, 05 Dec 2003 10:52:05 +1100 writes:
CathW> Has anyone writen R code for estimating Hurst exponent with R/S
method
CathW> or other methods?
CathW> or any other source of R code available?
There is the fracdiff package on CRAN for fitting
frARIMA(p,d,q) models with fractional "d" and there's a
one_to_one relationship between 'd' and the Hurst parameter for
these models: d = H - 1/2.
The R/S method is known to be far from optimal for many years
now, and there are better methods for which I'd recommend at
least the book
@Book{BerJ94,
author = {Jan Beran},
title = {Statistics for Long-Memory Processes},
publisher = {Chapman \& Hall},
year = 1994,
series = {Monographs on Statistics and Applied Probability 61},
address = NY
}
--------
In the book appendix, he has S-plus code (functions and a
script, not all really ok, using global variables, ...) that I
had started to package for R many months ago, package name
"longmemo".
The version was never close to fulfill any CRAN quality
standards on R packages --- though I can make it available if
you are interested; it's already quite a bit more useful than
the original fortran code {I'm also sending this (BCC) to Prof.Beran
to solicit comments}.
Martin Maechler <maechler at stat.math.ethz.ch>
http://stat.ethz.ch/~maechler/
Seminar fuer Statistik, ETH-Zentrum LEO C16 Leonhardstr. 27
ETH (Federal Inst. Technology) 8092 Zurich SWITZERLAND
phone: x-41-1-632-3408 fax: ...-1228 <><