Hello,
I'm using fArma package to estimate the value of Hurst exponent using R/S
method. However, for a certain set of data I get H ~ 1.8. How do I
interpret this?
Following are the output that I get for this set:
> mean(data[,2])
[1] 400.5433
> sd(data[,2])
[1] 1139.786
>
> rsFit(data[,2], levels = 64)
Title:
Hurst Exponent from R/S Method
Call:
rsFit(x = data[, 2], levels = 64)
Method:
R/S Method
Hurst Exponent:
H beta
*1.826240 1.826240 *
Hurst Exponent Diagnostic:
Estimate Std.Err t-value Pr(>|t|)
X 1.826240 3.352896 0.5446755 0.5919988
Parameter Settings:
n levels minnpts cut.off1 cut.off2
11895 64 3 5 316
Description:
Mon May 7 16:16:59 2012 by user:
Warning messages:
1: In rsFit(data[, 2], levels = 64) :
Integer overflow in 'cumsum'; use 'cumsum(as.numeric(.))'
2: In (1:m) * Y[m] : NAs produced by integer overflow
3: In (1:m) * Y[m] : NAs produced by integer overflow
4: In (1:m) * Y[m] : NAs produced by integer overflow
5: In (1:m) * Y[m] : NAs produced by integer overflow
6: In lsfit(log10(M), log10(RS), wt) : 37 missing values deleted
>
--
Thanks,
Barun Saha
JPA
IIT, Kharagpur
http://pothi.com/pothi/book/barun-saha-swapner-kheya
http://delay-tolerant-networks.blogspot.com/p/one-tutorial.html
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