Message-ID: <c3bbccd4c3e1fc9aedc35f1ad0c92746.squirrel@webm2.sri.utoronto.ca>
Date: 2014-08-06T23:11:16Z
From: makedon1 at sri.utoronto.ca
Subject: Fractal package - FDWhittle - Estimating the Hurst exponent
Hello list,
How would one estimate the Hurst exponent of a time series using the Whittle
method in R?
It looks like the Fractal package has a function called FDWhittle, but this
outputs the "FD Parameter" of a time series and not the Hurst exponent.
Any help would be greatly appreciated, as I am very much lost.
Thanks.
IM
FYI - the fractal manual -
http://cran.utstat.utoronto.ca/web/packages/fractal/fractal.pdf