> "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
>
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
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
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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