文件名称:hurstcaculate.rar
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hurst指数估计
This function does dispersional analysis on a data series, then does a
Matlab polyfit to a log-log plot to estimate the Hurst exponent of the
series.
This algorithm is far faster than a full-blown implementation of Hurst s
algorithm. I got the idea from a 2000 PhD dissertation by Hendrik J
Blok, and I make no guarantees whatsoever about the rigor of this approach
or the accuracy of results. Use it at your own risk.
,hurst
This function does dispersional analysis on a data series, then does a
Matlab polyfit to a log-log plot to estimate the Hurst exponent of the
series.
This algorithm is far faster than a full-blown implementation of Hurst s
algorithm. I got the idea from a 2000 PhD dissertation by Hendrik J
Blok, and I make no guarantees whatsoever about the rigor of this approach
or the accuracy of results. Use it at your own risk.
This function does dispersional analysis on a data series, then does a
Matlab polyfit to a log-log plot to estimate the Hurst exponent of the
series.
This algorithm is far faster than a full-blown implementation of Hurst s
algorithm. I got the idea from a 2000 PhD dissertation by Hendrik J
Blok, and I make no guarantees whatsoever about the rigor of this approach
or the accuracy of results. Use it at your own risk.
,hurst
This function does dispersional analysis on a data series, then does a
Matlab polyfit to a log-log plot to estimate the Hurst exponent of the
series.
This algorithm is far faster than a full-blown implementation of Hurst s
algorithm. I got the idea from a 2000 PhD dissertation by Hendrik J
Blok, and I make no guarantees whatsoever about the rigor of this approach
or the accuracy of results. Use it at your own risk.
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hurstcaculate.m
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