Hurst Index (using Rescaled-Range)

Versione 1.3 (8,32 KB) da Johannes Kalliauer
Hurst index calculated based on the rescaled range https://www.youtube.com/watch?v=l08LICz8Ink
0.0
(0)
29 download
Aggiornato 4 mag 2023

Visualizza la licenza

This code calulates the Hurst-index based on https://en.wikipedia.org/wiki/Rescaled_range .
If you have https://en.wikipedia.org/wiki/Wiener_process (Browinan) you need to set `TakeDifferences=true;`.
If you have https://en.wikipedia.org/wiki/White_noise (Gaussian) you need to set `TakeDifferences=false;`.
This example is based on an excel-function from https://www.youtube.com/watch?v=l08LICz8Ink (easy not very scientific video), however this Matlab-funtion has more features and increased performance.
Current scientific literature ESTIMATES the generalized Hust-index using Power-Spectral-Density (a different approach) see https://doi.org/10.1007/s004249900135 for more infos.
Copyleft:
This Code can be used under GNU AGPL 3.0 and CC-BY-SA 4.0, you can choose which license you prefer.

Cita come

Johannes Kalliauer (2024). Hurst Index (using Rescaled-Range) (https://www.mathworks.com/matlabcentral/fileexchange/128969-hurst-index-using-rescaled-range), MATLAB Central File Exchange. Recuperato .

Compatibilità della release di MATLAB
Creato con R2023a
Compatibile con R2020a e release successive
Compatibilità della piattaforma
Windows macOS Linux

Community Treasure Hunt

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

Start Hunting!

Versione Pubblicato Note della release
1.3