Thanks Gary. That package is a bit weird. When one installs and loads it up, you don't actually get any of those functions. One has to go to the following link:
http://r-forge.r-project.org/plugins/scmsvn/viewcvs.php?rev=1&root=rmetrics&view=rev and then download and source the file LongRangeDependence.R to get the aggvar and rsFit functions to do Hurst exponent estimation. It appears to be the case that the fSeries package currently does not really have that functionality. Perhaps they meant to put it in there but decided to exclude it in the current release for some reason. I have also cc'd the RMetrics group here to see if they can cast a light on this issue. Thanks, Tolga "Ling, Gary \(Electronic Trading\)" <[EMAIL PROTECTED]> 04/08/2008 20:51 To <[EMAIL PROTECTED]> cc Subject RE: [R] Long Range Dependence: Hurst exponent estimation Hi, you can try the "fSeries" package. See this doc: http://phase.hpcc.jp/mirrors/stat/R/CRAN/doc/packages/fSeries.pdf -gary -----Original Message----- From: [EMAIL PROTECTED] [mailto:[EMAIL PROTECTED] On Behalf Of [EMAIL PROTECTED] Sent: Monday, August 04, 2008 3:04 PM To: r-help@r-project.org Subject: [R] 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 receiving the offering materials attached below related to your interest in hedge funds or private equity, this communication may be intended as an offer or solicitation for the purchase or sale of such fund(s). 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