Spencer Graves <spencer.graves <at> structuremonitoring.com> writes: > > 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
Dear Spencer, sometimes I am a bit worried about answers that simply redirect the requestor to searching the Internet or R sites. It fuels the impression that experience is not so much asked for nowadays. Anyway, I looked into the 'fractal' package that comes up in your search. The same applies here that I said before. For none of the test series the result of computing H was nearly as accurate as what 'pengFit' returned. I really would be interested to hear from others about experiences with financial times series. Best, Hans Werner > 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 > > ______________________________________________ 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.
