Hello All, I'm coming across multiple data sets for which the R/S estimate of H is greater than 1. Could someone please explain this to me?
On Mon, May 7, 2012 at 4:13 PM, Barun Saha <[email protected]> wrote: > > Hello, > > I'm using fArma package to estimate the value of Hurst exponent using R/S > method. However, for a certain set of data I get H ~ 1.8. How do I interpret > this? > > Following are the output that I get for this set: > > > mean(data[,2]) > [1] 400.5433 > > sd(data[,2]) > [1] 1139.786 > > > > rsFit(data[,2], levels = 64) > > Title: > Hurst Exponent from R/S Method > > Call: > rsFit(x = data[, 2], levels = 64) > > Method: > R/S Method > > Hurst Exponent: > H beta > 1.826240 1.826240 > > Hurst Exponent Diagnostic: > Estimate Std.Err t-value Pr(>|t|) > X 1.826240 3.352896 0.5446755 0.5919988 > > Parameter Settings: > n levels minnpts cut.off1 cut.off2 > 11895 64 3 5 316 > > Description: > Mon May 7 16:16:59 2012 by user: > > Warning messages: > 1: In rsFit(data[, 2], levels = 64) : > Integer overflow in 'cumsum'; use 'cumsum(as.numeric(.))' > 2: In (1:m) * Y[m] : NAs produced by integer overflow > 3: In (1:m) * Y[m] : NAs produced by integer overflow > 4: In (1:m) * Y[m] : NAs produced by integer overflow > 5: In (1:m) * Y[m] : NAs produced by integer overflow > 6: In lsfit(log10(M), log10(RS), wt) : 37 missing values deleted > > > > > -- > Thanks, > Barun Saha > JPA > IIT, Kharagpur > > http://pothi.com/pothi/book/barun-saha-swapner-kheya > http://delay-tolerant-networks.blogspot.com/p/one-tutorial.html > -- Thanks, Barun Saha JPA IIT, Kharagpur http://pothi.com/pothi/book/barun-saha-swapner-kheya http://delay-tolerant-networks.blogspot.com/p/one-tutorial.html ______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
