image thumbnail

Generalized Hurst exponent

version (2.08 KB) by Tomaso Aste
Generalized Hurst exponent of a stochastic variable


Updated 31 Jan 2013

View License

Calculates the generalized Hurst exponent H(q) of a stochastic variable x(t) (a time series) from the scaling of the renormalized q-moments of the distribution

<|x(t+r)-x(t)|^q>/<x(t)^q> ~ r^[qH(q)]

The value of H(q) give indication about the fractal nature of the signal. H(q) = 0.5 corresponds to a Brownian motion, deviations form 0.5 and dependency on q are indications of multi-fractality and time-correlations.

Cite As

Tomaso Aste (2022). Generalized Hurst exponent (, MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2011a
Compatible with any release
Platform Compatibility
Windows macOS Linux

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!