Generalized Hurst exponent

Generalized Hurst exponent of a stochastic variable

Description

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 (R2011a)

[Tomaso Aste]

The Hurst exponent for a random walk is indeed 0.5. The Hurst exponent for a random variable is instead 0. If you apply the genhurst to cumsum(randn) and you will get numbers close to 0.5.

[Sandro]

I tried your file with a random time series (both rand and randn) and this values of obtained is close to 0 (although it should be close to 0.5 right?). Can you explain it?

[WARR]

 

[Patrick Lee]

 

[Lars]