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2012 May 06
0
Steps to determine Hurst exponent
Hello, I'm using the fArma package to estimate Hurst exponent by R/S method. I've some measurements in the following format: Call_number Call_duration I'm using the following steps. Am new to R, so it would help if someone could please confirm if my steps are correct. Further, this method seems to give a value H ~= 0.8 (> 0.5). Is the use of R/S method to estimate H OK? > head(data, n=10) X1 X5402 1 2 1876 2 3...