gyadav at ccilindia.co.in wrote:
>hi all,
>
>I have a simple question that does power spectral analysis related to
>capacity dimension, information dimension, lyapunov exponent, hurst
>exponent.
>
>
Hurst Aanalysis is implemented in fSeries from Rmetrics.
The following functions are available:
###############################################################################
# PART I: Simulation
# FUNCTIONS: FRACTIONAL BROWNIAN MOTION:
# fbmSim Generates fractional Brownian motion
# Available Methods:
# Numerical approximation of the stochastic
integral
# Choleki's decomposition of the covariance matrix
# Method of Levinson
# Method of Wood and Chan
# Wavelet synthesis
# FUNCTIONS: FRACTIONAL GAUSSIAN NOISE:
# fgnSim Generates fractional Gaussian noise
# Available Methods:
# Durbin's Method
# Paxson's Method
# Beran's Method
# FUNCTIONS: FARIMA PROCESS:
# farimaSim Generates FARIMA time series process
################################################################################
################################################################################
# PART II: Reimplemented functions from Beran's SPlus Scripts
# FUNCTIONS: DESCRIPTION:
# farimaTrueacf Returns FARMA true autocorrelation function
# farimaTruefft Returns FARMA true fast Fourier transform
# fgnTrueacf Returns FGN true autocorrelation function
# fgnTruefft Returns FGN true fast Fourier transform
# FUNCTIONS: WHITTLE ESTIMATOR:
# whittleFit Whittle Estimator
################################################################################
################################################################################
# PART III: Reimplemented SPlus/C functions from
# Taqqu M.S, Teverovsky V, Willinger W.
# Estimators for Long-Range Dependence: An Empirical Study
# Fractals, Vol 3, No. 4, 785-788, 1995
# FUNCTIONS: HURST EXPONENT:
# 'fHURST' S4 Class Representation
# print.fHURST S3 Print Method
# plot.fHURST S3 Plot Method
# aggvarFit Aggregated variance method
# diffvarFit Differenced aggregated variance method
# absvalFit Absolute values (moments) method
# higuchiFit Higuchi's method
# pengFit Peng's or Residuals of Regression method
# rsFit R/S method
# perFit Periodogram and cumulated periodogram method
# boxperFit Boxed (modified) peridogram method
# whittleFit Whittle estimator -> PART II
# hurstSlider Hurst Slider
################################################################################
Diethelm Wuertz
>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 Corporation Of India Limited.
>
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>
>
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