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
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