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

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 ,