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### Highlights from hurst parameter estimate

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# hurst parameter estimate

by

### Chu Chen (view profile)

11 Mar 2008 (Updated )

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

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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)
15 Jun 2016 Grace Pan

### Grace Pan (view profile)

hi chu,
I had some H greater than 1 when i run this code. could you tell why? thx

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15 Dec 2014 Markus Gschwind

### Markus Gschwind (view profile)

Great peace of code! I was looking long time around to find it.
- Maybe the various methods could briefly be summarized so that terminological variations can be cleared.

15 Apr 2012 Alex Wong

### Alex Wong (view profile)

Hi Chu,

I would like to estimate the Hurst coefficient so I can determine if my data series is persistent (H>0.5), antipersistent (H<0.5), or neutral (H=0.5). Several of the estimates I get are, for example, H = 1.8, or H=1.6, H=0.9....should I disregard the whole number and concentrate only on the decimals for interpreting persistence?

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12 Mar 2011 henry gorx

### henry gorx (view profile)

greatÂ¡, it works very well.

08 Mar 2011 saca 2009

### saca 2009 (view profile)

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

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23 Aug 2010 Washington

### Washington (view profile)

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

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25 May 2010 zheng zhilong

### zheng zhilong (view profile)

06 Jan 2010 zhang bin

### zhang bin (view profile)

Thanks a lot! Very good!

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28 Nov 2009 Felipe Ardila

### Felipe Ardila (view profile)

Good job, usefull package to esitmate Hurst coef, thanks

15 Aug 2009 Tom Wei

### Tom Wei (view profile)

very good, and contain different methods to estimate hurst parameter

15 Oct 2008 Alexandre Budoudoo

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