Hurst Modeling
Last update : 19/4/2007
vrm_h - Perform the Hurst exponent estimation using the Variance of Residuals Method
Calling Sequence
-
[H,ivarres,varres]=vrm_h(x,ii)
Parameters
-
x
: time series
-
ii
: vector with the size of non-overlapping blocks
-
H
: Hurst parameter estimation
-
varres
: variance of residuals
-
ivarres
: variance of residuals lags
Description
-
Perform the Hurst exponent estimation of a time series x using the Variance of Residuals Method.
Examples
x=read('./demos/fgn',-1,1);
ii=50:10:1000;
[H,ivarres,varres]=vrm_h(x,ii);
Authors
-
Foued Melakessou
University of Luxembourg
Bibliography
Intra Project 2004-2007
Used Function
LMS.
See Also
LMS
,