File Exchange

## hurst parameter estimate

version 1.0 (93.1 KB) by

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

4.875
8 Ratings

Updated

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.

ronak feizimirkhani

### ronak feizimirkhani (view profile)

So much thanks, I was searching for the best fitting function to find H parameter, and yours was the best.

Giancarlo Pfeifer

### Giancarlo Pfeifer (view profile)

Excellent and stable implementations for Hurst.
I am curious about the rationale for the cut-off points ( n/10 and 6n/10 for Higuchi and AbsVal and 3n/10 and 9n/10 for R/S) as this is the only thing that seems a bit arbitrary in the code, but otherwise excellent algorithm.

zinat bahrami

### zinat bahrami (view profile)

Hi chu.

What methods have you used to generate the input sequence?I have used your codes, and in higuchi methode I found hurst parameter greater than 1 and in more methods I found hurst parameter least than 0.5.please tell me why?thanks

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

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.

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?

henry gorx

### henry gorx (view profile)

great¡, it works very well.

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

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.

zheng zhilong

zhang bin

### zhang bin (view profile)

Thanks a lot! Very good!

Felipe Ardila

### Felipe Ardila (view profile)

Good job, usefull package to esitmate Hurst coef, thanks

Tom Wei

### Tom Wei (view profile)

very good, and contain different methods to estimate hurst parameter

Alexandre Budoudoo

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

##### MATLAB Release
MATLAB 7.1.0 (R14SP3)