Re: [R] Long Range Dependence: Hurst exponent estimation

2008-08-05 Thread Martin Maechler
> "tiu" == tolga i uzuner <[EMAIL PROTECTED]> > on Mon, 4 Aug 2008 20:04:15 +0100 writes: tiu> Dear R Users, Can anyone point me to a package for R tiu> vrsion 2.7.1 which implements some Hurst exponent tiu> estimation methods ? o fracdiff -- has been the first package to

Re: [R] Long Range Dependence: Hurst exponent estimation

2008-08-04 Thread Hans W. Borchers
> There is the 'fdim' package that computes the fractal dimension D. Between D and the Hurst exponent H there should be a relation D = 2 - H I wonder if this is true when computing D and H with different approaches Regards, Hans Werner Borchers ABB Corporate Research jpmorgan.com> write

Re: [R] Long Range Dependence: Hurst exponent estimation

2008-08-04 Thread tolga . i . uzuner
me 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 expon

[R] Long Range Dependence: Hurst exponent estimation

2008-08-04 Thread tolga . i . uzuner
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 an