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
-
x
: time series
-
ii
: vector with the size of non-overlapping blocks
-
H
: Hurst parameter estimation
-
RS
: rescaled range
-
iRS
: rescaled range x-coordinates
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
,