R help - May 2012 - Value of Hurst exponent (R/S) method > 1

Hello,

I'm using fArma package to estimate the value of Hurst exponent using R/S
method. However, for a certain set of data I get H ~ 1.8. How do I
interpret this?

Following are the output that I get for this set:
> mean(data[,2])
[1] 400.5433
> sd(data[,2])
[1] 1139.786
>
> rsFit(data[,2], levels = 64)
Title:
 Hurst Exponent from R/S Method

Call:
 rsFit(x = data[, 2], levels = 64)

Method:
 R/S Method

Hurst Exponent:
         H     beta
  *1.826240 1.826240 *

Hurst Exponent Diagnostic:
   Estimate  Std.Err   t-value  Pr(>|t|)
X 1.826240 3.352896 0.5446755 0.5919988

Parameter Settings:
       n   levels  minnpts cut.off1 cut.off2
   11895       64        3        5      316

Description:
 Mon May  7 16:16:59 2012 by user:

Warning messages:
1: In rsFit(data[, 2], levels = 64) :
  Integer overflow in 'cumsum'; use 'cumsum(as.numeric(.))'
2: In (1:m) * Y[m] : NAs produced by integer overflow
3: In (1:m) * Y[m] : NAs produced by integer overflow
4: In (1:m) * Y[m] : NAs produced by integer overflow
5: In (1:m) * Y[m] : NAs produced by integer overflow
6: In lsfit(log10(M), log10(RS), wt) : 37 missing values
deleted
>

-- 
Thanks,
Barun Saha
JPA
IIT, Kharagpur

http://pothi.com/pothi/book/barun-saha-swapner-kheya
http://delay-tolerant-networks.blogspot.com/p/one-tutorial.html

	[[alternative HTML version deleted]]

Hello All,

I'm coming across multiple data sets for which the R/S estimate of H
is greater than 1. Could someone please explain this to me?

On Mon, May 7, 2012 at 4:13 PM, Barun Saha <barun.saha04 at gmail.com>
wrote:
>
> Hello,
>
> I'm using fArma package to estimate the value of Hurst exponent using
R/S
> method. However, for a certain set of data I get H ~ 1.8. How do I
interpret
> this?
>
> Following are the output that I get for this set:
>
> > mean(data[,2])
> [1] 400.5433
> > sd(data[,2])
> [1] 1139.786
> >
> > rsFit(data[,2], levels = 64)
>
> Title:
> ?Hurst Exponent from R/S Method
>
> Call:
> ?rsFit(x = data[, 2], levels = 64)
>
> Method:
> ?R/S Method
>
> Hurst Exponent:
> ???????? H???? beta
> ? 1.826240 1.826240
>
> Hurst Exponent Diagnostic:
> ?? Estimate? Std.Err?? t-value? Pr(>|t|)
> X 1.826240 3.352896 0.5446755 0.5919988
>
> Parameter Settings:
> ?????? n?? levels? minnpts cut.off1 cut.off2
> ?? 11895?????? 64??????? 3??????? 5????? 316
>
> Description:
> ?Mon May? 7 16:16:59 2012 by user:
>
> Warning messages:
> 1: In rsFit(data[, 2], levels = 64) :
> ? Integer overflow in 'cumsum'; use 'cumsum(as.numeric(.))'
> 2: In (1:m) * Y[m] : NAs produced by integer overflow
> 3: In (1:m) * Y[m] : NAs produced by integer overflow
> 4: In (1:m) * Y[m] : NAs produced by integer overflow
> 5: In (1:m) * Y[m] : NAs produced by integer overflow
> 6: In lsfit(log10(M), log10(RS), wt) : 37 missing values deleted
> >
>
>
> --
> Thanks,
> Barun Saha
> JPA
> IIT, Kharagpur
>
> http://pothi.com/pothi/book/barun-saha-swapner-kheya
> http://delay-tolerant-networks.blogspot.com/p/one-tutorial.html
>


--
Thanks,
Barun Saha
JPA
IIT, Kharagpur

http://pothi.com/pothi/book/barun-saha-swapner-kheya
http://delay-tolerant-networks.blogspot.com/p/one-tutorial.html