IDEAS home Printed from https://ideas.repec.org/c/wuu/hscode/m11003.html
 

HURST: MATLAB function to compute the Hurst exponent using R/S Analysis

Author

Listed:
  • Rafal Weron

Programming Language

MATLAB

Abstract

H = HURST(X) calculates the Hurst exponent of time series X using the R/S analysis of Hurst [2], corrected for small sample bias [1,3,4]. If a vector of increasing natural numbers is given as the second input parameter, i.e. HURST(X,D), then it defines the box sizes that the sample is divided into (the values in D have to be divisors of the length of series X). If D is a scalar (default value D = 50) it is treated as the smallest box size that the sample can be divided into. In this case the optimal sample size OptN and the vector of divisors for this size are automatically computed. OptN is defined as the length that possesses the most divisors among series shorter than X by no more than 1%. The input series X is truncated at the OptN-th value. [H,HE,HT] = HURST(X) returns the uncorrected empirical and theoretical Hurst exponents. [H,HE,HT,PV95] = HURST(X) returns the empirical 95% confidence intervals PV95 (see [4]).

Suggested Citation

  • Rafal Weron, 2011. "HURST: MATLAB function to compute the Hurst exponent using R/S Analysis," HSC Software M11003, Hugo Steinhaus Center, Wroclaw University of Technology.
  • Handle: RePEc:wuu:hscode:m11003
    as

    Download full text from publisher

    File URL: http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/hscode/hurst.m
    File Function: Program file
    Download Restriction: no
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wuu:hscode:m11003. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: . General contact details of provider: https://edirc.repec.org/data/hspwrpl.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Rafal Weron (email available below). General contact details of provider: https://edirc.repec.org/data/hspwrpl.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.