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2007 Mar 26
0
The Hurst Exponent in fBasic
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 yo...