[Gretl-users] Re: Hurst and confidence intervals
Am 27.03.2021 um 13:51 schrieb Periklis Gogas:
What is the actual algorithm that Gretl uses to estimate the Hurst
exponent?
Is it the Anis-Lloyd corrected R/S or the DFA?
I believe DFA is only (optionally) available in the gen_hurst
contributed package. R/S is available both in the native command and in
gen_hurst AFAIK. I don't know what Anis-Lloyd is, so it could or could
not be implemented. But the native "hurst" command has a relatively
detailed verbal description of what it does.
cheers
sven