Displaying 20 results from an estimated 200 matches similar to: "regarding chaos"
2007 Jan 10
3
Fractional brownian motion
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
2018 Jan 26
2
Help in Plotting in "fArma" Package
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
--
2018 Jan 26
0
Help in Plotting in "fArma" Package
> 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
2003 Dec 04
1
R code for estimating Hurst exponent
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
2008 Aug 04
2
Long Range Dependence: Hurst exponent estimation
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
2012 May 07
1
Value of Hurst exponent (R/S) method > 1
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
1999 May 12
1
Beran's Stats for Long memory processes book code
Hello,
Has anybody transferred Bearn's S+ code to R ?
Best,
Costas
--
-------------------------------------------------------------------------
Konstantinos E. Vorloou | Tel: +44 (0)191 374 1821
Department of Economics & Finance | Fax: +44 (0)191 374 7289
University of Durham, | email: K.E.Vorloou at durham.ac.uk
23/26 Old Elvet, | or : vorlow at
2011 Feb 02
1
Acf of Frima
Hello,
I am trying to calculate the autocovariance matrix for any general
farima(p,d,q) with
p,q > 1. Could anyone give an idea how to implement in R or if there
is any package for this?
thank you beforehand.
Jose.
2010 Jul 19
1
Hurst Exponent Estimation
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
2008 Mar 12
1
Help in estimating HURST parameter
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
2006 Nov 25
3
[PATCH] HTTP accept filter support for FreeBSD
This small patch extends configure_socket_options to support FreeBSD''s
accf_http(9), which defers 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
2005 Jul 26
3
farimaSim
Hello!
I installed the fSeries package to get some farima time-series which i tried
with farimaSim, but unfortunately i got always an error. I tried it this way:
> farimaSim(n = 1000, model = list(ar = 0.5, d = 0.3, ma = 0.1), method="freq")
Error in farimaSim(n = 1000, model = list(ar = 0.5, d = 0.3, ma = 0.1), :
... used in an incorrect context
Some ideas?
Regards,
___
2011 Feb 08
1
Simulation of Multivariate Fractional Gaussian Noise and Fractional Brownian Motion
Dear R Helpers,
I have searched for any R package or code for simulating multivariate
fractional Brownian motion (mFBM) or multivariate fractional Gaussian noise
(mFGN) when a covariance matrix are given. Unfortunately, I could not find
such a package or code.
Can you suggest any solution for multivariate FBM and FGN simulation? Thank
you for your help.
Best Regards,
Ryan
-----
Wonsang You
2008 Jul 04
2
Interface between fractal geometry and statistics
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
2006 Apr 16
1
Tyan K8WE BIOS v1.03 and -STABLE
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
2012 May 31
2
time-series statistics collection
Hello,
I am trying to collect several global measures or statistics for
time-series as well as packages of R that can compute them. I have found
several of them in papers and books, but the literature is so big i am sure
i am missing several of them.
skewness
kurtosis
min
max
mean
SD
trend
seasonality
periodicity
chaos (Lyapunov Exponent) / Largest Lyapunov Exponent (i think is the same
2006 Feb 06
1
marginal distribution wrt time of time series ?
Dear all,
In many papers regarding time series analysis
of acquired data, the authors analyze 'marginal
distribution' (i.e. marginal with respect to time)
of their data by for example checking
'cdf heavy tail' hypothesis.
For i.i.d data this is ok, but what if samples are
correlated, nonstationary etc.?
Are there limit theorems which for example allow
us to claim that
2008 Mar 21
1
tseries(arma) vs. stats(arima)
Hello,
The "arma" function in the "tseries" package allows estimation of models
with specific "ar" and "ma" lags with its "lag" argument.
For example: y[t] = a[0] + a[1]y[t-3] +b[1]e[t-2] + e[t] can be estimated
with the following specification : arma(y, lag=list(ar=3,ma=2)).
Is this possible with the "arima" function in the
2007 May 04
5
Problems with mongrel_cluster 1.0.1.1 on FreeBSD
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
2012 Apr 25
1
Help on time series & Hurst exponent
Hello,
I'm an absolute beginner with R. I'm hoping to do some time-series analysis
on my data. The data looks like
#time value
18 153
20 426
70 7
83 130
84 7
and so on where time could be in seconds or hours or days (not all at the
same time). How could I import such a file to R and do some simple stuff
(say plot the values)? As per the tutorials on time series, I could use the
ts()