Software for LRD

This page describes software I have written for research into LRD. This is research software, that is to say, it is not well-documented, is sometimes hastily written and is likely to be of interest only to a handful of people. That said, some of this software would potentially be useful to those researching LRD.

LRD measurement code. This code is useful for researchers who have a time-series and wish to measure its Hurst parameter. Different measurement techniques often produce different results and therefore several estimators are used. The software also includes generators for Fractional Guassian Noise and FARIMA data. The code is compressed using the standard "tgz" format -- in unix tar -xvf LRDcode.tgz will unpack it. In windows any of a number of standard unzip tools will do this. The README file should provide basic information on how to use the software. The code uses the free statistical language R which you would need to install before use. You will also need a C compiler for those sections written in C. The code is adapted from the work of many different authors and these authors are all credited in the appropriate source code. Use of this software is described in my paper A practical guide to measuring the Hurst parameter and users are encouraged to read this paper first.

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Page last updated January 2007.