[EMAIL PROTECTED] wrote: >hi all, > >I have a simple question that does power spectral analysis related to >capacity dimension, information dimension, lyapunov exponent, hurst >exponent. > > Hurst Aanalysis is implemented in fSeries from Rmetrics. The following functions are available:
############################################################################### # PART I: Simulation # FUNCTIONS: FRACTIONAL BROWNIAN MOTION: # fbmSim Generates fractional Brownian motion # Available Methods: # Numerical approximation of the stochastic integral # Choleki's decomposition of the covariance matrix # Method of Levinson # Method of Wood and Chan # Wavelet synthesis # FUNCTIONS: FRACTIONAL GAUSSIAN NOISE: # fgnSim Generates fractional Gaussian noise # Available Methods: # Durbin's Method # Paxson's Method # Beran's Method # FUNCTIONS: FARIMA PROCESS: # farimaSim Generates FARIMA time series process ################################################################################ ################################################################################ # PART II: Reimplemented functions from Beran's SPlus Scripts # FUNCTIONS: DESCRIPTION: # farimaTrueacf Returns FARMA true autocorrelation function # farimaTruefft Returns FARMA true fast Fourier transform # fgnTrueacf Returns FGN true autocorrelation function # fgnTruefft Returns FGN true fast Fourier transform # FUNCTIONS: WHITTLE ESTIMATOR: # whittleFit Whittle Estimator ################################################################################ ################################################################################ # PART III: Reimplemented SPlus/C functions from # Taqqu M.S, Teverovsky V, Willinger W. # Estimators for Long-Range Dependence: An Empirical Study # Fractals, Vol 3, No. 4, 785-788, 1995 # FUNCTIONS: HURST EXPONENT: # 'fHURST' S4 Class Representation # print.fHURST S3 Print Method # plot.fHURST S3 Plot Method # aggvarFit Aggregated variance method # diffvarFit Differenced aggregated variance method # absvalFit Absolute values (moments) method # higuchiFit Higuchi's method # pengFit Peng's or Residuals of Regression method # rsFit R/S method # perFit Periodogram and cumulated periodogram method # boxperFit Boxed (modified) peridogram method # whittleFit Whittle estimator -> PART II # hurstSlider Hurst Slider ################################################################################ Diethelm Wuertz >If yes then please show me the way. I am newbie in the world of chaos. > > Sayonara With Smile & With Warm Regards :-) > > G a u r a v Y a d a v > Senior Executive Officer, > Economic Research & Surveillance Department, > Clearing Corporation Of India Limited. > > Address: 5th, 6th, 7th Floor, Trade Wing 'C', Kamala City, S.B. Marg, >Mumbai - 400 013 > Telephone(Office): - +91 022 6663 9398 , Mobile(Personal) (0)9821286118 > Email(Office) :- [EMAIL PROTECTED] , Email(Personal) :- >[EMAIL PROTECTED] > > >============================================================================================ >DISCLAIMER AND CONFIDENTIALITY CAUTION:\ \ This message and ...{{dropped}} > >______________________________________________ >R-help@stat.math.ethz.ch 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. > > > ______________________________________________ R-help@stat.math.ethz.ch 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.