>>>>> "CathW" == Xiaozhe Wang <[EMAIL PROTECTED]> >>>>> on Fri, 05 Dec 2003 10:52:05 +1100 writes:
CathW> Has anyone writen R code for estimating Hurst exponent with R/S method CathW> or other methods? CathW> or any other source of R code available? There is the fracdiff package on CRAN for fitting frARIMA(p,d,q) models with fractional "d" and there's a one_to_one relationship between 'd' and the Hurst parameter for these models: d = H - 1/2. The R/S method is known to be far from optimal for many years now, and there are better methods for which I'd recommend at least the book @Book{BerJ94, author = {Jan Beran}, title = {Statistics for Long-Memory Processes}, publisher = {Chapman \& Hall}, year = 1994, series = {Monographs on Statistics and Applied Probability 61}, address = NY } -------- In the book appendix, he has S-plus code (functions and a script, not all really ok, using global variables, ...) that I had started to package for R many months ago, package name "longmemo". The version was never close to fulfill any CRAN quality standards on R packages --- though I can make it available if you are interested; it's already quite a bit more useful than the original fortran code {I'm also sending this (BCC) to Prof.Beran to solicit comments}. Martin Maechler <[EMAIL PROTECTED]> http://stat.ethz.ch/~maechler/ Seminar fuer Statistik, ETH-Zentrum LEO C16 Leonhardstr. 27 ETH (Federal Inst. Technology) 8092 Zurich SWITZERLAND phone: x-41-1-632-3408 fax: ...-1228 <>< ______________________________________________ [EMAIL PROTECTED] mailing list https://www.stat.math.ethz.ch/mailman/listinfo/r-help