Generalized Hurst exponent

Generalized Hurst exponent of a stochastic variable

Description

This code calculates the generalized Hurst exponent H(q) of a stochastic variable x(t) (a time series) from the scaling of the renormalized q-moments of the distribution

<|x(t+r)-x(t)|^q>/<x(t)^q> ~ r^[qH(q)]

The value of H(q) give indication about the fractal nature of the signal. H(q) = 0.5 corresponds to a Brownian motion, deviations form 0.5 and dependency on q are indications of multi-fractality and time-correlations.

• MATLAB release: MATLAB 7.12 (2011a)

[Lars]

 

[Patrick Lee]

 

[WARR]