This question is off topic here. -- Sent from my phone. Please excuse my brevity.
On February 13, 2017 9:08:18 AM PST, Allan Tanaka <allantanak...@yahoo.com> wrote: >Correction, it should look like this:**def hurst(ts): lags = range(2, >100) tau = [np.sqrt(std(subtract(ts[lag:], ts[:-lag]))) for lag in >lags] poly = np.polyfit(log(lags), log(tau), 1) return poly[0]*2.0 > >On Tuesday, 14 February 2017, 0:06, Allan Tanaka ><allantanak...@yahoo.com> wrote: > > >Hi. Not sure why this code produces the error like this. This error >appears when i run the code of print "Hurst(GBM): %s" % hurst(gbm): >Traceback (most recent call last): File "<pyshell#31>", line 1, in ><module> print "Hurst(GBM): %s" % hurst(gbm)NameError: name >'hurst' is not defined > >Here is the full code:>>> import statsmodels.tsa.stattools as ts >>>> import urllib>>> from datetime import datetime>>> from >pandas_datareader import data, wb>>> from pandas_datareader.data import >DataReader>>> goog = DataReader("GOOG", "yahoo", datetime(2000,1,1), >datetime(2017,1,1))>>> ts.adfuller(goog['Adj Close'], 1>>> import numpy >as np >>>> from numpy import cumsum, log, polyfit, sqrt, std, subtract>>> from >numpy.random import randn>>> def hurst(ts): lags = range(2, 100) tau = >[sqrt(std(subtract(ts[lag:], ts[:-lag]))) for lag in lags] poly = >polyfit(log(lags), log(tau), 1) return poly[0]*2.0>>> gbm = >log(cumsum(randn(100000))+1000)>>> mr = log(randn(100000)+1000)>>> tr = >log(cumsum(randn(100000)+1)+1000)>>> print "Hurst(GBM): %s" % >hurst(gbm) > > > > > [[alternative HTML version deleted]] > >______________________________________________ >R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see >https://stat.ethz.ch/mailman/listinfo/r-help >PLEASE do read the posting guide >http://www.R-project.org/posting-guide.html >and provide commented, minimal, self-contained, reproducible code. ______________________________________________ R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.