Hurst Index (using Rescaled-Range)

Hurst index calculated based on the rescaled range
Updated 4 May 2023

View License

This code calulates the Hurst-index based on .
If you have (Browinan) you need to set `TakeDifferences=true;`.
If you have (Gaussian) you need to set `TakeDifferences=false;`.
This example is based on an excel-function from (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 for more infos.
This Code can be used under GNU AGPL 3.0 and CC-BY-SA 4.0, you can choose which license you prefer.

Cite As

Johannes Kalliauer (2024). Hurst Index (using Rescaled-Range) (, MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2023a
Compatible with R2020a and later releases
Platform Compatibility
Windows macOS Linux

Community Treasure Hunt

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

Start Hunting!
Version Published Release Notes