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Fractal package - FDWhittle - Estimating the Hurst exponent

1 message · makedon1 at sri.utoronto.ca

#
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