Hurst exponent

This is an implementation of the Hurst exponent that is simpler and quicker than most.

Description

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.

• MATLAB release: MATLAB 7.0.1 (R14SP1)

[Mustafa Ualid]

 

[Jhon Herry]

this is good software

[E. Diaconescu]

correct? base for log is '10', not '2' ?

[Wai Kong Lee]

It doesn't really matter what base we use, afterall the slope will be the same.

[hau]

I think the code doesn't run correctly on R2008b. No matter which kind of data I plug, I got ~0.96. For example, I used wfbm command in wavelet toolbox to generate a fBm with H=0.2 with length 100000, the result by this code is 0.96; while H=0.8, the result is the same. However, the command wfbmesti in wavelet toolbox can give me very correct answer. Does anyone know what's wrong?

[Paul Matthews]

hau, you need to apply the code to the diff of your data. Then it gives the right answer.

[sen_saven gdsgds]

well...same problem as hau

test=wfbm(0.8,100000);
>> hurst_exponent(test)
testing Hurst calculation
Hurst exponent = 0.98

and even when taking the diff I get

Hurst exponent = 0.71

not 0.8 as it should be..

Is there a matlab code for the calculation of H that gives precise results?

[Navin]

Hi guys

I am looking for matlab code for calculation of Hurst index as well..Please let me knw if you come across any reliable code..The code at this link looks interesting

http://www.ms.unimelb.edu.au/~odj/

Comments invited
Cheers

[FG]

why do I get an error when trying to use "function" in the way this author does? I am running matlab 2010

[Guyennon Nicolas]

Navin,

Tomaso Aste has uploaded (18 Jan 2011) a code there : http://www.mathworks.com/matlabcentral/fileexchange/30076-generalized-hurst-exponent.

following the test proposed by hau and sen_saven gdsgds :

test=wfbm(0.8,100000);
genhurst(test) --> 0.7934 on a 7.9 R2009b 64bit
genhurst(test) --> 0.7926 7.0 R14 32bit

the code refer to T. Di Matteo et al. Physica A 324 (2003) 183-188 and has no rating until today (04/04/11)