HURST: MATLAB function to compute the Hurst exponent using R/S Analysis

Rafał Weron

HSC Software from Hugo Steinhaus Center, Wroclaw University of Science and Technology

Abstract: H = HURST(X) calculates the Hurst exponent of time series X using the R/S analysis of Hurst [2], corrected for small sample bias [1,3,4]. If a vector of increasing natural numbers is given as the second input parameter, i.e. HURST(X,D), then it defines the box sizes that the sample is divided into (the values in D have to be divisors of the length of series X). If D is a scalar (default value D = 50) it is treated as the smallest box size that the sample can be divided into. In this case the optimal sample size OptN and the vector of divisors for this size are automatically computed. OptN is defined as the length that possesses the most divisors among series shorter than X by no more than 1%. The input series X is truncated at the OptN-th value. [H,HE,HT] = HURST(X) returns the uncorrected empirical and theoretical Hurst exponents. [H,HE,HT,PV95] = HURST(X) returns the empirical 95% confidence intervals PV95 (see [4]).

Language: MATLAB
Requires: MATLAB (tested on MATLAB ver. 7.9).
Keywords: R/S Analysis; Rescaled range; Hurst exponent; p-value; Long range dependence. (search for similar items in EconPapers)
Date: 2011-09-30
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