[R] Long Range Dependence: Hurst exponent estimation

[Hans W. Borchers]

> 

There is the 'fdim' package that computes the fractal dimension D.
Between D and the Hurst exponent H there should be a relation

    D = 2 - H

I wonder if this is true when computing D and H with different
approaches

Regards,

Hans Werner Borchers
ABB Corporate Research

<tolga.i.uzuner <at> jpmorgan.com> writes:
> Thanks Gary. 
> 
> That package is a bit weird. When one installs and loads it up, you don't 
> actually get any of those functions. [...]
>  
>  It appears to be the case that the fSeries package currently does not 
> really have that functionality. Perhaps they meant to put it in there but 
> decided to exclude it in the current release for some reason.
> 
> I have also cc'd the RMetrics group here to see if they can cast a light 
> on this issue.
> 
> Thanks,
> Tolga
>