Hurst Modeling
Last update : 19/4/2007

rs_h - Perform the Hurst exponent estimation using the Rescaled Range Method

Calling Sequence

[H,iRS,RS]=rs_h(x,ii)

Parameters

Description

Perform the Hurst exponent estimation of a time series x using the Rescaled Range Method.

Examples

  x=read('./demos/fgn',-1,1);
  ii=1:100;
  [H,iRS,RS]=rs_h(x,ii);
  

Authors

Foued Melakessou University of Luxembourg

Bibliography

Intra Project 2004-2007

Used Function

LMS.

See Also

LMS ,