Hurst Modeling
Last update : 13/3/2007

avm_h - Perform the Hurst exponent estimation of a time series x using the Aggregated Variance Method

Calling Sequence

[H,avm]=avm_h(x,init,p)

Parameters

Description

Perform the Hurst exponent estimation of a time series x using the Aggregated Variance Method. avm(init,init+p/100*length(aggregated process)) is used to perform the estimation of H.

Examples

  x=read('./demos/fgn',-1,1);
  [H,avm]=avm_h(x,1,20);
  scf;
  subplot(2,1,1);plot(x);xtitle('x');
  subplot(2,1,2);plot(avm);xtitle('Aggregated Variance');
  

Authors

Foued Melakessou University of Luxembourg

Bibliography

Intra Project 2004-2007

Used Function

aggregation_a, LMS.

See Also

aggregation_a ,   LMS ,