R help - Aug 2008 - Long Range Dependence: Hurst exponent estimation

Dear R Users,

Can anyone point me to a package for R vrsion 2.7.1 which implements some 
Hurst exponent estimation methods ?

Thanks in advance,
Tolga

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Thanks Gary. 

That package is a bit weird. When one installs and loads it up, you don't 
actually get any of those functions. One has to go to the following link:

http://r-forge.r-project.org/plugins/scmsvn/viewcvs.php?rev=1&root=rmetrics&view=rev

and then download and source the file LongRangeDependence.R to get the 
aggvar and rsFit functions to do Hurst exponent estimation.

 It appears to be the case that the fSeries package currently does not 
really have that functionality. Perhaps they meant to put it in there but 
decided to exclude it in the current release for some reason.

I have also cc'd the RMetrics group here to see if they can cast a light 
on this issue.

Thanks,
Tolga






"Ling, Gary \(Electronic Trading\)" <Gary_Ling@ml.com> 
04/08/2008 20:51

To
<tolga.i.uzuner@jpmorgan.com>
cc

Subject
RE: [R] Long Range Dependence: Hurst exponent estimation






Hi, you can try the "fSeries" package.
See this doc:
http://phase.hpcc.jp/mirrors/stat/R/CRAN/doc/packages/fSeries.pdf
-gary

-----Original Message-----
From: r-help-bounces@r-project.org [mailto:r-help-bounces@r-project.org]
On Behalf Of tolga.i.uzuner@jpmorgan.com
Sent: Monday, August 04, 2008 3:04 PM
To: r-help@r-project.org
Subject: [R] Long Range Dependence: Hurst exponent estimation


Dear R Users,

Can anyone point me to a package for R vrsion 2.7.1 which implements
some 
Hurst exponent estimation methods ?

Thanks in advance,
Tolga

Generally, this communication is for informational purposes only
and it is not intended as an offer or solicitation for the purchase
or sale of any financial instrument or as an official confirmation
of any transaction. In the event you are receiving the offering
materials attached below related to your interest in hedge funds or
private equity, this communication may be intended as an offer or
solicitation for the purchase or sale of such fund(s).  All market
prices, data and other information are not warranted as to
completeness or accuracy and are subject to change without notice.
Any comments or statements made herein do not necessarily reflect
those of JPMorgan Chase & Co., its subsidiaries and affiliates.

This transmission may contain information that is privileged,
confidential, legally privileged, and/or exempt from disclosure
under applicable law. If you are not the intended recipient, you
are hereby notified that any disclosure, copying, distribution, or
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thereon) is STRICTLY PROHIBITED. Although this transmission and any
attachments are believed to be free of any virus or other defect
that might affect any computer system into which it is received and
opened, it is the responsibility of the recipient to ensure that it
is virus free and no responsibility is accepted by JPMorgan Chase &
Co., its subsidiaries and affiliates, as applicable, for any loss
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transmission in error, please immediately contact the sender and
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Please refer to http://www.jpmorgan.com/pages/disclosures for
disclosures relating to UK legal entities.
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Generally, this communication is for informational purposes only
and it is not intended as an offer or solicitation for the purchase
or sale of any financial instrument or as an official confirmation
of any transaction. In the event you are receiving the offering
materials attached below related to your interest in hedge funds or
private equity, this communication may be intended as an offer or
solicitation for the purchase or sale of such fund(s).  All market
prices, data and other information are not warranted as to
completeness or accuracy and are subject to change without notice.
Any comments or statements made herein do not necessarily reflect
those of JPMorgan Chase & Co., its subsidiaries and affiliates.

This transmission may contain information that is privileged,
confidential, legally privileged, and/or exempt from disclosure
under applicable law. If you are not the intended recipient, you
are hereby notified that any disclosure, copying, distribution, or
use of the information contained herein (including any reliance
thereon) is STRICTLY PROHIBITED. Although this transmission and any
attachments are believed to be free of any virus or other defect
that might affect any computer system into which it is received and
opened, it is the responsibility of the recipient to ensure that it
is virus free and no responsibility is accepted by JPMorgan Chase &
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or damage arising in any way from its use. If you received this
transmission in error, please immediately contact the sender and
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	[[alternative HTML version deleted]]

>>>>> "tiu" == tolga i uzuner <tolga.i.uzuner at
jpmorgan.com>
>>>>>     on Mon, 4 Aug 2008 20:04:15 +0100 writes:
    tiu> Dear R Users, Can anyone point me to a package for R
    tiu> vrsion 2.7.1 which implements some Hurst exponent
    tiu> estimation methods ?

o  fracdiff -- has been the first package to do so,

o  fArma   --   reimplementation (from the "Rmetrics" suite)
   	   	of fracdiff and much more

o  longmemo --  has FEXPest () of Beran


Martin Maechler, 
ETH Zurich

    tiu> Thanks in advance, Tolga

    tiu> Generally, this communication is for informational
    tiu> purposes only and it is not intended as an offer or
    tiu> solicitation for the purchase or sale of any financial
    tiu> instrument or as an official confirmation of any
    tiu> transaction. In the event you are receiving the
    tiu> offering materials attached below related to your
    tiu> interest in hedge funds or private equity, this
    tiu> communication may be intended as an offer or
    tiu> solicitation for the purchase or sale of such fund(s).
    tiu> All market prices, data and other information are not
    tiu> warranted as to completeness or accuracy and are
    tiu> subject to change without notice.  Any comments or
    tiu> statements made herein do not necessarily reflect those
    tiu> of JPMorgan Chase & Co., its subsidiaries and
    tiu> affiliates.

    tiu> This transmission may contain information that is
    tiu> privileged, confidential, legally privileged, and/or
    tiu> exempt from disclosure under applicable law. If you are
    tiu> not the intended recipient, you are hereby notified
    tiu> that any disclosure, copying, distribution, or use of
    tiu> the information contained herein (including any
    tiu> reliance thereon) is STRICTLY PROHIBITED. Although this
    tiu> transmission and any attachments are believed to be
    tiu> free of any virus or other defect that might affect any
    tiu> computer system into which it is received and opened,
    tiu> it is the responsibility of the recipient to ensure
    tiu> that it is virus free and no responsibility is accepted
    tiu> by JPMorgan Chase & Co., its subsidiaries and
    tiu> affiliates, as applicable, for any loss or damage
    tiu> arising in any way from its use. If you received this
    tiu> transmission in error, please immediately contact the
    tiu> sender and destroy the material in its entirety,
    tiu> whether in electronic or hard copy format. Thank you.
    tiu> Please refer to
    tiu> http://www.jpmorgan.com/pages/disclosures for
    tiu> disclosures relating to UK legal entities.
    tiu> [[alternative HTML version deleted]]

    tiu> ______________________________________________
    tiu> R-help at r-project.org mailing list
    tiu> https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do
    tiu> read the posting guide
    tiu> http://www.R-project.org/posting-guide.html and provide
    tiu> commented, minimal, self-contained, reproducible code.