[R] Simulate binary time series with known Hurst exponent

Andrew MacIntosh andyjmac at gmail.com
Tue Dec 27 04:35:21 CET 2011

Dear R users,

I am looking for a package in R that will simulate binary time series
given some known value for the Hurst exponent. I see that the package
FGN allows for simulation of fGn, but it does not seem that parameters
other than sequence length and H can be manipulated. What I want to do
is simulate sequences of varying length, probability of the binomial
distribution (say from 25-75 % successes), and H.

I would very much appreciate any advice on this matter.

Thank you,

Andrew MacIntosh
Kyoto University

More information about the R-help mailing list