AWC_HURST: MATLAB function to compute the Hurst exponent using the Average Wavelet Coefficient (AWC) method

Rafał Weron

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

Abstract: H = AWC_HURST(DATA) returns the Hurst exponent H for sample DATA using the Average Wavelet Coefficient (AWC) method of Simonsen et al. (1998). H = AWC_HURST(DATA,N,T,WAVEMODE,WAVE) allows to specify the decomposition level (default: N is the largest power of two such that 2^N is not greater than the sample size), the vector of powers of two used in the AWC regression (default: T = 1:(N-1)), the discrete wavelet transform extension mode (default: WAVEMODE = 'per'; see also dwtmode.m) and the wavelet type (default: WAVE = 'db24'). If there are no output parameters, the AWC statistics is automatically plotted against the powers of two on a loglog paper and the results of the analysis are displayed in the command window.

Language: MATLAB
Requires: MATLAB (tested on MATLAB ver. 7.11).
Keywords: Average Wavelet Coefficient (AWC); Hurst exponent; Long range dependence. (search for similar items in EconPapers)
Date: 2014-06-21
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https://alfa.im.pwr.edu.pl/~hugo/RePEc/wuu/hscode/awc_hurst.m Program file (text/plain)

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Persistent link: https://EconPapers.repec.org/RePEc:wuu:hscode:m14002

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