similar to: Help on time series & Hurst exponent

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

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? >

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

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

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 you so

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, 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

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

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

What Dave said, plus here's a hint. Try this example (which uses base graphics): 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 --

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

> On Jan 26, 2018, at 9:51 AM, MacQueen, Don <macqueen1 at llnl.gov> wrote: > > What Dave said, plus here's a hint. Try this example (which uses base graphics): > > 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

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

Dear useRs, I want to simulate a time series (stationary; the distribution of values is skewed to the right; quite a few ARMA absolute standardized residuals above 2 - about 8% of them). Is this the right way to do it? #-------------------------------- load("rdtb") #the time series > summary(rdtb) Min. 1st Qu. Median Mean 3rd Qu. Max. -1.11800 -0.65010 -0.09091

hello all, i have been trying to figure this out for the last few hours, and after seemingly exhausting all the google search results, i figured i would try this mailing list... i just updated the ruby version on my ubuntu dapper drake box to the most recent version. i installed it into /usr/local/bin problematically, the previous installation was in /usr/bin mongrel still complains that:

Can we convert OpenCL code with device fission to LLVM-IR ? If yes, please guide me. Regs, Barun -- This message has been scanned for viruses and dangerous content by MailScanner, and is believed to be clean.

Hi, I'm trying to model an ARMA(1,[1,4]), i.e. I want only lags 1 and 4 of the Moving Average part. It's the '[1,4]' part that is giving me a problem. I've tried different arma's and arima's in different packages, namely: packages tseries, fArma, FinTS, timeSeries, TSA, Zelig, ds1, forecast For example, with package FinTS: > ( ARIMA(y, order=c(1,0,c(1,4))) )

# Dear List, # I want to characterize a time series according to its Quarter components. # My data ("a.ts": http://docs.google.com/View?id=dfvvwzr2_478cr9k4cdb)? look like: #???????????????? Qtr1????????? Qtr2????????? Qtr3????????? Qtr4 #?? 1948 -0.0714961837? 0.0101747827? 0.0654816569 -0.0227830729 #?? 1949 -0.1175517556? 0.1151378692? 0.1015777858 -0.1971535900 #?? 1950?

Hi, I am new to bioconductor, trying to install KEGGSOAP package, but got warnings() when installing and error message when trying to load the package, can anyone suggest what went wrong? many thanks John > source("http://bioconductor.org/biocLite.R") Bioconductor version 2.11 (BiocInstaller 1.8.3), ?biocLite for help > biocLite("KEGGSOAP") BioC_mirror:

Dear All: I am new in Linux and I have inherited a Linux redhat system with "R Version 2.1.0 (2005-04-18)" installed. Can somebody help me with step by step instructions to download the new version and install it? Thanks mjacob The contents of this communication, including any attachments, may be confidential, privileged or otherwise protected from disclosure. They are intended