[Gretl-users] Re: Hurst and confidence intervals
On Sat, 27 Mar 2021, Periklis Gogas wrote:
What is the actual algorithm that Gretl uses to estimate the Hurst
exponent?
Is it the Anis-Lloyd corrected R/S or the DFA?
You can see exactly what gretl is doing in
https://sourceforge.net/p/gretl/git/ci/master/tree/plugin/fractals.c
See hurst_calc() in particular.
Allin