hurst parameter estimate
Version 1.0.0.0 (93.1 KB) by
Chu Chen
This routine estimate the long-range dependence of a sequence with several methods.
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.
Cite As
Chu Chen (2024). hurst parameter estimate (https://www.mathworks.com/matlabcentral/fileexchange/19148-hurst-parameter-estimate), MATLAB Central File Exchange. Retrieved .
MATLAB Release Compatibility
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R14SP3
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hurst estimator/
Version | Published | Release Notes | |
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1.0.0.0 |