hurst指数计算excel宏

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计算HURST指数的exel宏 27198.rar (19.83 KB, 需要: 5 个论坛币) 本附件包括：

• 宏_Hurst指数计算.xls

2005-9-19 10:57:00 上传

hurst指数计算excel宏
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(1951) Hurst, H.E. "Long-term storage capacity of reservoirs", Trans. Am. Soc. Civil Engineers, 116, 770-799. Peters, E.E. (1991), Chaos and Order in the Capital Markets: A New View of Cycles, Prices, and Market Volatility, New York, John Wiley and Sons, 1991.

[此贴子已经被作者于2005-9-19 16:00:41编辑过]

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关键词：Hurst指数 hurst EXCEL exce xcel EXCEL 指数 hurst

回复也不行呀。

(1951) Hurst, H.E. "Long-term storage capacity of reservoirs", Trans. Am. Soc. Civil Engineers, 116, 770-799.
Peters, E.E. (1991), Chaos and Order in the Capital Markets: A New View of Cycles, Prices, and Market Volatility, New York, John Wiley and Sons, 1991.

There is only one maximum when the fractional root d is fixed:

Parameter Scoring OPTMUM
phi1 0.91971795 0.91971515
theta1 0.46713308 0.46712854
d 0 0
sigma 2.0190068 2.0190213

So, d can be estimated before computing the MLE of the ARFIMA process.
For example, we can use the GPH (Geweke Porter-Hudak) estimate to fix d.

[em01][em01]

用一下看看

用过拉

不错！

谢谢楼主啊

我在写关于hurst指数的文章

可以多交流啊

d can be estimated before computing the MLE of the ARFIMA process.
For example, we can use the GPH (Geweke Porter-Hudak) estimate to fix d.

楼主，没钱呀，便宜一点吧

谢谢   但是我还要什么签署启动的数字文件？

什么签署启动的数字文件？

启用宏就可以了