[R] Fractional brownian motion

From: ED <edzabc_at_gmail.com>
Date: Wed 10 Jan 2007 - 13:53:16 GMT


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;

Qing

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