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

Author

Listed:
  • Rafal Weron

Abstract

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).

Suggested Citation

  • Rafal Weron, 2011. "GPH: MATLAB function to estimate the Hurst exponent using the Geweke-Porter-Hudak (1983) spectral estimator (periodogram regression method)," HSC Software M11001, Hugo Steinhaus Center, Wroclaw University of Technology.
  • Handle: RePEc:wuu:hscode:m11001
    as

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    File URL: http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/hscode/gph.m
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