GPH: MATLAB function to estimate the Hurst exponent using the Geweke-Porter-Hudak (1983) spectral estimator (periodogram regression method)

Rafał Weron ()

HSC Software from Hugo Steinhaus Center, Wroclaw University of Technology

Abstract: GPH(X) returns the Hurst exponent H of a time series X estimated using the Geweke-Porter-Hudak (1983) spectral estimator for periods lower than max(period)^CUTOFF, where CUTOFF=0.5. GPH(X,CUTOFF) allows to specify a CUTOFF different then 0.5. [H,CONF_LO,CONF_HI]=GPH(X,CUTOFF,CONF_LEVEL) also returns the asymptotic confidence interval [CONF_LO,CONF_HI] at a given (two sided) confidence level (default: CONF_LEVEL=0.95).

Language: MATLAB
Requires: MATLAB (tested on MATLAB ver. 7.9).
Keywords: Geweke-Porter-Hudak estimator; Periodogram regression; Hurst exponent; Confidence interval. (search for similar items in EconPapers)
Date: 2011-09-30
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http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/hscode/gph.m Program file (text/plain)

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Persistent link: http://EconPapers.repec.org/RePEc:wuu:hscode:m11001

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