Dear All, I am a novice when it comes to time-series analysis and at the moment I am actually interested in calculating the Hurst exponent of a time series. This question has already been asked quite some time ago
http://bit.ly/98dZsi and I trust some progress has been made ever since. I was able to find some functions in the packages http://cran.r-project.org/web/packages/Rwave/index.html and http://cran.r-project.org/web/packages/fArma/index.html Allegedly, there should be functions for this in the Rtisean package http://cran.r-project.org/web/packages/RTisean/index.html but I have not been able to find them. Bottom line: if you have a time series (list of empirical data of varying length and not necessarily sampled on a uniform time grid) what R tool would you use to estimate its Hurst exponent? Any suggestion is appreciated. Cheers Lorenzo ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
