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Semi variance method and scaled windowed variance method for fractal time series analysis.
by Guan Wenye
Semi variance method and scaled windowed variance method for fractal time series analysis.
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| D1=semivariance(DATA)
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function D1=semivariance(DATA)
%the variable h1 can be changed to your interest
%if you don't change h1,the time series should be of length greater than 2500
%code by Guan Wenye,guanwenye@tju.edu.cn
h1=100:200:2000;
h1=h1';
N1=length(h1);
rh=zeros(N1,1);
n=1;
for t1=100:200:2000
rh1=sum((DATA(1:t1)-DATA((1+t1):(2*t1))).^2);
rh(n)=rh1/2/t1;
n=n+1;
end
plot(log(h1),log(rh),'*')
hold on
h2=polyfit(log(h1),log(rh),1);
plot([log(h1(1)) log(h1(N1))],[polyval(h2,log(h1(1))) polyval(h2,log(h1(N1)))],'r')
D1=(4-h2(1))/2;
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