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GPH: MATLAB function to estimate the Hurst exponent using the Geweke-Porter-Hudak (1983) spectral estimator (periodogram regression method)

Listed author(s):
  • Rafal Weron

GPH(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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Software component provided by Hugo Steinhaus Center, Wroclaw University of Technology in its series HSC Software with number M11001.

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Programming language: MATLAB
Requires: MATLAB (tested on MATLAB ver. 7.9).
Date of creation: 30 Sep 2011
Handle: RePEc:wuu:hscode:m11001
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