search for: hurst

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 C...

Hi, Can u please tell me which all packages do i need to install to estimate the hurst parameter in R. I have tried installing all the possible options but still it doesnt work. basically i want to use 9 functions to estimate hurst parameter like aggvarfit, rsfit, etc. i will be very thankful if u could be of some help. -- Regards, Deepak Jadhav. [[alternative HTML versi...

Dear All, I am a novice when it comes to time-series analysis and at the moment I am actually interested in calculating the Hurst exponent of a time series. This question has already been asked quite some time ago http://bit.ly/98dZsi and I trust some progress has been made ever since. I was able to find some functions in the packages http://cran.r-project.org/web/packages/Rwave/index.html and http://cran.r-project.org/...

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 u...

Has anyone writen R code for estimating Hurst exponent with R/S method or other methods? or any other source of R code available? Many thanks Catherine Wang

Dear R users, The function lmacfPlot( ) in fBasics, returns a list including the Hurst Exponent. I get sometimes a value for Hurst Exponent using lmacfPlot bigger than 1 which is theoretically incorrect. What could be reason ? From the related documents, I could not find how the Hurst Exponent in lmacfPlot is estimated. Could you please say how it is estimated here? Thank...

Dear R Users, I am using code from the following links to do Hurst exponent estimation. link: http://r-forge.r-project.org/plugins/scmsvn/viewcvs.php?rev=1&root=rmetrics&view=rev file: LongRangeDependence.R Take a look at the following run: > x<-(cos((1:200)/10)) > rsFit(diff(x,15))@hurst$H [1] 1.027420 > aggvarFit(diff(x,15))@hurst$H [1] 0.0...

...series, I could use the ts() method to import the values (not timestamps). However, one problem with my data is that the *time intervals are not regular* -- i.e. I don't have observations at every delta_t. So, I possibly can't ignore the timestamps. I'm also interested to estimate the Hurst exponent for the above series. I've installed the fArma package. Again, I'm not sure how to use the above series there. Could someone please help me on this? -- Thanks, Barun Saha JPA IIT, Kharagpur http://pothi.com/pothi/book/barun-saha-swapner-kheya http://delay-tolerant-networks.blog...

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 r...

hi all, I have a simple question that does power spectral analysis related to capacity dimension, information dimension, lyapunov exponent, hurst exponent. 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. Address: 5th,...

...accept() until there''s a full HTTP request to read. Seems to work fine on 6.1-STABLE. DragonflyBSD should work too provided the /freebsd/ line is modified to match it. accf_http(9): http://www.freebsd.org/cgi/man.cgi?query=accf_http&sektion=9 -- Thomas ''Freaky'' Hurst http://hur.st/ -------------- next part -------------- --- mongrel.rb.orig Sat Nov 25 05:19:12 2006 +++ mongrel.rb Sat Nov 25 08:41:20 2006 @@ -666,10 +666,17 @@ end def configure_socket_options - if /linux/ === RUBY_PLATFORM + case RUBY_PLATFORM + when /linux/...

Dear All; I have used fbmSim to simulate a fbm sequence, however, when I tried to estimate the Hurst effect, none of the nine procedures gave me an answer close enough to the real value, which is 0.5 (n=1000). So, would you please advice, 1. which is the best method to estimate the H among the 9 mehods, R/S, higuchi or Whittle? 2. how to choose the levels (default=50), minnpts, cutoff values or...

...make a connect and all the other not. Alle workstation are on the same group, are all in the same SubNet; but i can?t see my SAMBA _ Server so well like on this machine that is working. So is there any other problems on SAMBA ? Kind regards Matthias -----Urspr?ngliche Nachricht----- Von: stefan.hurst@si-bw.de [mailto:stefan.hurst@si-bw.de] Gesendet: Dienstag, 25. September 2001 10:38 An: samba@samba.org Betreff: Antwort: Win 2000 Compatability issues Hi, actually I have the same problem. I have a workgroup with a Samba 2.0.x Server as the master browser. A Workstation with Windows 2000 Pro...

Are there any packages that help with statistical analysis in situations where fractal geometry is relevant? Perhaps something that supports computation of fractal related statistics, such as the Hurst exponent or fractal dimension? Or perhaps which support obvious tasks such as taking samples from a dataset at different levels of granularity (such as sampling spatial data at cm, m, km spatial resolution, or sampling daily time series at weekly, monthly, quaterly or annual resolution)? Than...

Dear All; I have used fbmSim to simulate a fbm sequence, however, when I tried to estimate the Hurst effect, none of the nine procedures gave me an answer close enough to the real value, which is 0.5 (n=1000). So, would you please advice, 1. which is the best method to estimate the H among the 9 mehods, R/S, higuchi or Whittle? 2. how to choose the levels (default=50), minnpts, cutoff values or...

...SD trend seasonality periodicity chaos (Lyapunov Exponent) / Largest Lyapunov Exponent (i think is the same statistic) serial correlation / auto-correlation (this is the same if i am correct Box-Pierce autocorrelation sum) higher-order autocorrelation nonlinearity (terasvirta test) self similarity (Hurst exponent) matual information sum any other statistics that i am missing? Maybe other useful tests? or books/papers that i could find more? also any packages that can compute some/all of them? Best, PA [[alternative HTML version deleted]]

Hello, I am new to R and for some of my research work I am using 'fArma' package to estimate the Hurst parameter of a time series. When I am ding the following command : rsFit(data, doplot = TRUE) I am getting the R/S plot for that time series with default plot title, font size. However, I want to change the axis size, font size etc of this plot, which I...

I tried updating the BIOS on my K8WE (S2895) yesterday to 1.03, but after the update, FreeBSD (RELENG_6 dated March 26) would randomly freeze after booting. As I was updating from v1.01, I suspect it may be the updates to the nVidia SATA firmware that caused the issue, as things generally froze shortly after the background fsck processed kicked in (with, obviously, the exception of the first

I''m running FreeBSD 6.1 and installed the 1.0.1.1 mongrel_cluster prerelease. I had a problem with the mongrels not stopping, and it turns out it''s because ps is reporting my processes as just [ruby18] instead of someting more like "mongrel_rails start -d ......." Not sure why it''s doing that, but it is. Any ideas? For the time being I just changed line

Hello I m a student in PARIS X university (France).I m preparing a working paper dealing with the presence of long memory in finantial markets. I have programs computing the hurst exponent by the rescaled range method and the GPH method (Geweke Porter-Hudak). I want to apply the modified rescaled range method proposed by A.Lo (1991). AS i m beggining with RATS i couldn't do the progam . can you send me the program (for RATS ) computing the hurst exponent with the modifie...