Dear All;
I have used fbmSim to simulate a fbm sequence, however, when I tried to
estimate the Hurst effect, none of the nine procedures gave me an answer
close enough to the real value, which is 0.5 (n=1000). So, would you please
advice,
1. which is the best method to estimate the H among the 9 mehods, R/S,
higuchi or Whittle?
2. how to choose the levels (default=50), minnpts, cutoff values or if there
is any other issues to consider? Would you please send your code if you can
get the right estimate for the attached dataset?
3. I also simulated multiple sequences, but some of the estimated results
have H>1, how would you explain this, and how to correct it.
4. if I have a sample size of 30, what are your suggestions for estimating
the hurst effect.
I really appreciate your help, and thanks in advance.
Sincerely;
Ed
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