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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 Call: rsFit(x = data[, 2], levels = 64) Method: R/S Method Hurst Exponent: H beta *1.826240 1.826240 * Hurst Exponent Diagnostic: Estimate Std.Err t-value Pr(>|t|) X 1.826240 3.352896 0.5446755 0.5919988...

...cs): plot(1:5) plot(1:5, cex.lab=2) Then look at the help page for par help('par') or ?par to search for other graphics parameters (base graphics) you can use to change various things. Success will depend, as Dave indicated, on how the package author handled the plotting options in rsFit(). -Don -- Don MacQueen Lawrence Livermore National Laboratory 7000 East Ave., L-627 Livermore, CA 94550 925-423-1062 Lab cell 925-724-7509 ?On 1/25/18, 5:56 PM, "R-help on behalf of David Winsemius" <r-help-bounces at r-project.org on behalf of dwinsemius at comcast.net> wrot...

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 am unable to do as there is no formal argument here. Can anyone suggest something about this? How can I change the fo...

The documentation say that additional arguments will be passed. I suspect this will be a base graphics plot. You should look at the code of plot.rsfit to determine which arguments get processed. Sent from my iPhone > On Jan 25, 2018, at 10:30 AM, Moyukh Laha <laha.moyukh at gmail.com> wrote: > > Hello, > I am new to R and for some of my research work I am using 'fArma' > package to estimate the Hurst parame...

...gt; > Then look at the help page for par > help('par') > or > ?par > to search for other graphics parameters (base graphics) you can use to change various things. > > Success will depend, as Dave indicated, on how the package author handled the plotting options in rsFit(). Actually it's an S4 method: showMethods("show", classes="fHURST", includeDefs=TRUE) Function: show (package methods) object="fHURST" function (object) { x = object doplot = TRUE cat("\nTitle:\n ", x at title, "\n", sep = "...

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 version deleted]]

...m 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 7653 3 4 2969 4 5 6215 5 6 2596 6 7 2434 7 8 1380 8 9 937 9 10 2047 10 11 712 > > rsFit(data[,2]) Title: Hurst Exponent from R/S Method Call: rsFit(x = data[, 2]) Method: R/S Method Hurst Exponent: H beta 0.8030667 0.8030667 Hurst Exponent Diagnostic: Estimate Std.Err t-value Pr(>|t|) X 0.8030667 0.05039722 15.93474 4.643595e-17 Parameter Setti...

Hi all, Does anyone know if Lo's modified R/S statistic is implemented in R? I found "rsFit" function from fArma package (LrdModelling), but I guess this is to calculate the classical R/S statistic. Thank you, M. -- View this message in context: http://www.nabble.com/Lo%27s-modified-R-S-tp24318771p24318771.html Sent from the R help mailing list archive at Nabble.com.

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 recommend something which is more stable ? This code appears to be part of f...

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

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