search for: longrangedependence

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] 0.02301331 First of all, can anyone cast a light on the drastically different results (obviously, the R/S fit is just wrong) ? Further, can anyone...

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