Hurst exponent

Version 1.0.0.0 (1.8 KB) by Bill Davidson
This is an implementation of the Hurst exponent that is simpler and quicker than most.
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Updated 1 Feb 2006

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This is an implementation of the Hurst exponent calculation that is smaller, simpler, and quicker than most others. It does a dispersional analysis on the data and then uses Matlab's polyfit to estimate the Hurst exponent. It comes with a test driver that you can delete.

Cite As

Bill Davidson (2026). Hurst exponent (https://www.mathworks.com/matlabcentral/fileexchange/9842-hurst-exponent), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R14SP1
Compatible with any release
Platform Compatibility
Windows macOS Linux
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Version Published Release Notes
1.0.0.0