[R] Confidence interval for Whittle method
Hello, How could we get the confidence interval when using the whittleFit method from fArma package? -- Thanks, Barun Saha __ R-help@r-project.org 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.
Re: [R] Value of Hurst exponent (R/S) method 1
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 barun.sah...@gmail.com 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 __ R-help@r-project.org 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] Value of Hurst exponent (R/S) method 1
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 6435 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 [[alternative HTML version deleted]] __ R-help@r-project.org 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] Steps to determine Hurst exponent
Hello, I'm using the fArma package to estimate Hurst exponent by R/S method. I've some measurements in the following format: Call_number Call_duration I'm using the following steps. Am new to R, so it would help if someone could please confirm if my steps are correct. Further, this method seems to give a value H ~= 0.8 ( 0.5). Is the use of R/S method to estimate H OK? head(data, n=10) X1 X5402 1 2 1876 2 3 7653 3 4 2969 4 5 6215 5 6 2596 6 7 2434 7 8 1380 8 9 937 9 10 2047 10 11 712 rsFit(data[,2]) Title: Hurst Exponent from R/S Method Call: rsFit(x = data[, 2]) Method: R/S Method Hurst Exponent: H beta 0.8030667 0.8030667 Hurst Exponent Diagnostic: EstimateStd.Err t-value Pr(|t|) X 0.8030667 0.05039722 15.93474 4.643595e-17 Parameter Settings: n levels minnpts cut.off1 cut.off2 227656 5035 316 Description: Sun May 6 22:07:43 2012 by user: There were 14 warnings (use warnings() to see them) -- 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 [[alternative HTML version deleted]] __ R-help@r-project.org 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 on time series Hurst exponent
Hello, I'm an absolute beginner with R. I'm hoping to do some time-series analysis on my data. The data looks like #time value 18 153 20 426 70 7 83 130 84 7 and so on where time could be in seconds or hours or days (not all at the same time). How could I import such a file to R and do some simple stuff (say plot the values)? As per the tutorials on time series, I could use the ts() method to import the values (not timestamps). However, one problem with my data is that the *time intervals are not regular* -- i.e. I don't have observations at every delta_t. So, I possibly can't ignore the timestamps. I'm also interested to estimate the Hurst exponent for the above series. I've installed the fArma package. Again, I'm not sure how to use the above series there. Could someone please help me on this? -- 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 [[alternative HTML version deleted]] __ R-help@r-project.org 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.
Re: [R] Help on time series Hurst exponent
Thanks, Michael! Could you plz point to some easy tutorials regarding this? On Wed, Apr 25, 2012 at 8:14 PM, R. Michael Weylandt michael.weyla...@gmail.com wrote: You really don't want to use ts() -- if you want to use the tools in fArma use a timeSeries (provided by the package of the same name) Michael On Wed, Apr 25, 2012 at 9:54 AM, Barun Saha barun.sah...@gmail.com wrote: Hello, I'm an absolute beginner with R. I'm hoping to do some time-series analysis on my data. The data looks like #time value 18 153 20 426 70 7 83 130 84 7 and so on where time could be in seconds or hours or days (not all at the same time). How could I import such a file to R and do some simple stuff (say plot the values)? As per the tutorials on time series, I could use the ts() method to import the values (not timestamps). However, one problem with my data is that the *time intervals are not regular* -- i.e. I don't have observations at every delta_t. So, I possibly can't ignore the timestamps. I'm also interested to estimate the Hurst exponent for the above series. I've installed the fArma package. Again, I'm not sure how to use the above series there. Could someone please help me on this? -- 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 [[alternative HTML version deleted]] __ R-help@r-project.org 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. -- 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 [[alternative HTML version deleted]] __ R-help@r-project.org 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.
