Hurst exponent

Hurst exponent: Matlab central file exchange 9842. This is an implementation of the Hurst exponent calculation that is smaller, simpler, and quicker than most others. It does a dispersional analysis on the data and then uses Matlab’s polyfit to estimate the Hurst exponent. It comes with a test driver that you can delete.

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References in zbMATH (referenced in 1 article )

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  1. Chen, Yangquan; Sun, Rongtao; Zhou, Anhong: An improved Hurst parameter estimator based on fractional Fourier transform (2010) ioport