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AWC_HURST: MATLAB function to compute the Hurst exponent using the Average Wavelet Coefficient (AWC) method

Author

Listed:
  • Rafal Weron

Programming Language

MATLAB

Abstract

H = AWC_HURST(DATA) returns the Hurst exponent H for sample DATA using the Average Wavelet Coefficient (AWC) method of Simonsen et al. (1998). H = AWC_HURST(DATA,N,T,WAVEMODE,WAVE) allows to specify the decomposition level (default: N is the largest power of two such that 2^N is not greater than the sample size), the vector of powers of two used in the AWC regression (default: T = 1:(N-1)), the discrete wavelet transform extension mode (default: WAVEMODE = 'per'; see also dwtmode.m) and the wavelet type (default: WAVE = 'db24'). If there are no output parameters, the AWC statistics is automatically plotted against the powers of two on a loglog paper and the results of the analysis are displayed in the command window.

Suggested Citation

  • Rafal Weron, 2014. "AWC_HURST: MATLAB function to compute the Hurst exponent using the Average Wavelet Coefficient (AWC) method," HSC Software M14002, Hugo Steinhaus Center, Wroclaw University of Technology.
    • Handle: RePEc:wuu:hscode:m14002
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