Hurst Modeling
Last update : 13/3/2007
amm_h - Perform the Hurst exponent estimation of a time series x using the Absolute Moment Method
Calling Sequence
-
[H,amm]=amm_h(x,n,init,p)
Parameters
-
x
: time series
-
n
: moment order
-
init
: starting point of the aggregated process used for the estimation of H
-
p
: aggregated process proportion used for the estimation of H
-
H
: Hurst exponent
-
amm
: absolute moment
Description
-
Perform the Hurst exponent estimation of a time series x using the Absolute Moment Method.
Examples
x=read('./demos/fgn',-1,1);
[H,amm]=amm_h(x,3,1,20);
scf;
subplot(2,1,1);plot(x);xtitle('x');
subplot(2,1,2);plot(amm);xtitle('Absolute Moment order=3');
Authors
-
Foued Melakessou
University of Luxembourg
Bibliography
Intra Project 2004-2007
Used Function
aggregation_a, LMS.
See Also
aggregation_a
,
LMS
,