makedon1 at sri.utoronto.ca
2014-Aug-06 23:11 UTC
[R] Fractal package - FDWhittle - Estimating the Hurst exponent
Hello list, How would one estimate the Hurst exponent of a time series using the Whittle method in R? It looks like the Fractal package has a function called FDWhittle, but this outputs the "FD Parameter" of a time series and not the Hurst exponent. Any help would be greatly appreciated, as I am very much lost. Thanks. IM FYI - the fractal manual - http://cran.utstat.utoronto.ca/web/packages/fractal/fractal.pdf