hurst parameter estimate

This routine estimate the long-range dependence of a sequence with several methods.

Description

The most important characteristic of a covariance stationary self-similar stochastic process is that it is long-range dependent. The long-range dependent time series hold significant correlations across arbitrarily large time scales. And the Hurst parameter H measure the degree of long-range dependence and can be estimated by several methods.

• MATLAB release: MATLAB 7.1.0 (R14SP3)

[Alexandre Budoudoo]

A very good package combining different methods. Recommended for studing purposes and developpment of own algorithms

[Tom Wei]

very good, and contain different methods to estimate hurst parameter

[Felipe Ardila]

Good job, usefull package to esitmate Hurst coef, thanks

[zhang bin]

Thanks a lot! Very good!

[zheng zhilong]

 

[Washington]

I have used your RS routine, and in some cases I found hurst parameter greater than 1 (one), is it anything wrong? Thanks.

[saca 2009]

while running the program graph is not coming it is showing error that undefined isplot so kindly suggest me how can i over come this error

[henry gorx]

great¡, it works very well.