Message-ID: <3C5FF7C7.E9EB930A@Alcatel.com>
Date: 2002-02-05T15:18:31Z
From: Peter Rabinovitch
Subject: Whittle's Estimator of Hurst Parameter
Has anybody written R code to estimate the Hurst parameter via Whittle's
method? In particular, I am looking to get a confidence interval on the
Hurst parameter.
I have tried adapting Taqqu's S+ code, but I keep running into
issues.....
Any pointers and/or code available?
Thanks much.
--
Peter Rabinovitch
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