Have you tried something like the following:
library(sos)
H <- ???Hurst
summary(H)
H
This identified 50 links in 15 packages, and displayed the
results in a table in a web browser with links to the best match in the
best package first. The "installPackages" and "writeFindFn2xls"
functions are designed to produce an Excel file with a summary page that
can help you identify the package that seems to be most actively
maintained among the relevant packages, as explained in a vignette.
Hope this helps.
Spencer Graves
On 7/22/2010 12:25 AM, Hans W Borchers wrote:
Lorenzo Isella<lorenzo.isella<at> gmail.com> writes:
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.
Some time ago I tested some of the classical chaotic time series
(such as the logistic map and others, no financial time series) with
available functions in R and Matlab. In my experience, Peng's method
(realized in R as fArma::pengFit) works reasonably reliable and is
more accurate than most others on these series.
Unfortunately, the available R and Matlab implementations of the same
method -- and refering back to the same literature article -- can give
quite different results, with varying success for both sides.
AFAIK, in TISEAN there is no function estimating the Hurst exponent.
Regards
Hans Werner
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.
--
Spencer Graves, PE, PhD
President and Chief Operating Officer
Structure Inspection and Monitoring, Inc.
751 Emerson Ct.
San José, CA 95126
ph: 408-655-4567
______________________________________________
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.
