hurst parameter estimate

Version (93.1 KB) by Chu Chen
This routine estimate the long-range dependence of a sequence with several methods.
Updated 11 Mar 2008

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The most important characteristic of a covariance stationary self-similar stochastic process is that it is long-range dependent. The long-range dependent time series hold significant correlations across arbitrarily large time scales. And the Hurst parameter H measure the degree of long-range dependence and can be estimated by several methods.

Cite As

Chu Chen (2024). hurst parameter estimate (, MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R14SP3
Compatible with any release
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