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.

Keywords for this software

Anything in here will be replaced on browsers that support the canvas element


References in zbMATH (referenced in 1 article )

Showing result 1 of 1.
Sorted by year (citations)

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