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Chu Chen

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11 Mar 2008 hurst parameter estimate This routine estimate the long-range dependence of a sequence with several methods. Author: Chu Chen fractals, hurst parameter, longrange dependence, stochastic process, covariance 38 8
  • 4.8
4.8 | 5 ratings
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15 Apr 2012 hurst parameter estimate This routine estimate the long-range dependence of a sequence with several methods. Author: Chu Chen Alex Wong

Hi Chu,

I would like to estimate the Hurst coefficient so I can determine if my data series is persistent (H>0.5), antipersistent (H<0.5), or neutral (H=0.5). Several of the estimates I get are, for example, H = 1.8, or H=1.6, H=0.9....should I disregard the whole number and concentrate only on the decimals for interpreting persistence?

12 Mar 2011 hurst parameter estimate This routine estimate the long-range dependence of a sequence with several methods. Author: Chu Chen henry gorx

great¡, it works very well.

08 Mar 2011 hurst parameter estimate This routine estimate the long-range dependence of a sequence with several methods. Author: Chu Chen saca 2009

while running the program graph is not coming it is showing error that undefined isplot so kindly suggest me how can i over come this error

23 Aug 2010 hurst parameter estimate This routine estimate the long-range dependence of a sequence with several methods. Author: Chu Chen Washington

I have used your RS routine, and in some cases I found hurst parameter greater than 1 (one), is it anything wrong? Thanks.

25 May 2010 hurst parameter estimate This routine estimate the long-range dependence of a sequence with several methods. Author: Chu Chen zheng zhilong

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