GPH: MATLAB function to estimate the Hurst exponent using the Geweke-Porter-Hudak (1983) spectral estimator (periodogram regression method)
AbstractGPH(X) returns the Hurst exponent H of a time series X estimated using the Geweke-Porter-Hudak (1983) spectral estimator for periods lower than max(period)^CUTOFF, where CUTOFF=0.5. GPH(X,CUTOFF) allows to specify a CUTOFF different then 0.5. [H,CONF_LO,CONF_HI]=GPH(X,CUTOFF,CONF_LEVEL) also returns the asymptotic confidence interval [CONF_LO,CONF_HI] at a given (two sided) confidence level (default: CONF_LEVEL=0.95).
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Bibliographic InfoSoftware component provided by Hugo Steinhaus Center, Wroclaw University of Technology in its series HSC Software with number M11001.
Programming language: MATLAB
Requires: MATLAB (tested on MATLAB ver. 7.9).
Date of creation: 30 Sep 2011
Date of revision:
Geweke-Porter-Hudak estimator; Periodogram regression; Hurst exponent; Confidence interval.; reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
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