Code covered by the BSD License  

Highlights from
Generalized Hurst exponent

5.0
5.0 | 5 ratings Rate this file 119 Downloads (last 30 days) File Size: 2.08 KB File ID: #30076

Generalized Hurst exponent

by

 

18 Jan 2011 (Updated )

Generalized Hurst exponent of a stochastic variable

| Watch this File

File Information
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)
Tags for This File   Please login to tag files.
Please login to add a comment or rating.
Comments and Ratings (8)
16 Dec 2013 BOJING ZHU

good

Comment only
01 Nov 2013 Thomas

Thomas (view profile)

 
30 Jul 2013 xinxing  
17 Jan 2013 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.

Comment only
16 Jan 2013 Sandro

Sandro (view profile)

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?

Comment only
07 May 2012 WARR

WARR (view profile)

 
29 Jan 2012 faruto

faruto (view profile)

 
26 Jan 2012 Lars

Lars (view profile)

 
Updates
02 May 2012

Minor changes.

31 Jan 2013

minor changes

Contact us