avm_h - Perform the Hurst exponent estimation of a time series x using the Aggregated Variance Method
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.
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');
aggregation_a , LMS ,