[R] Fractal package - FDWhittle - Estimating the Hurst exponent

makedon1 at sri.utoronto.ca makedon1 at sri.utoronto.ca
Thu Aug 7 01:11:16 CEST 2014

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.


FYI - the fractal manual -

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