There are a few things I should have added to the description above.
1. Please read at least one of the papers by Gottwald and Melbourne before using the code. Marco, there is a discussion and explanation of the oversampling issue in section 6 of the paper linked above, and a helpful picture (fig 10). Oversampling of continuous data can lead to an incorrect result of zero for chaotic systems.
2. The two checks for oversampling that lead to the warning are very crude and should not be relied upon. The code sometimes gives the warning when it shouldn't.
3. The test is designed for deterministic systems. It cannot be used to distinguish chaos from noise.
18 Aug 2009
Hurst exponent
This is an implementation of the Hurst exponent that is simpler and quicker than most.
Author: Bill Davidson
hau, you need to apply the code to the diff of your data. Then it gives the right answer.
There are a few things I should have added to the description above.
1. Please read at least one of the papers by Gottwald and Melbourne before using the code. Marco, there is a discussion and explanation of the oversampling issue in section 6 of the paper linked above, and a helpful picture (fig 10). Oversampling of continuous data can lead to an incorrect result of zero for chaotic systems.
2. The two checks for oversampling that lead to the warning are very crude and should not be relied upon. The code sometimes gives the warning when it shouldn't.
3. The test is designed for deterministic systems. It cannot be used to distinguish chaos from noise.