Hurst Index (using Rescaled-Range)
Version 1.3 (8,32 KB) von
Johannes Kalliauer
Hurst index calculated based on the rescaled range https://www.youtube.com/watch?v=l08LICz8Ink
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.
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Johannes Kalliauer (2024). Hurst Index (using Rescaled-Range) (https://www.mathworks.com/matlabcentral/fileexchange/128969-hurst-index-using-rescaled-range), MATLAB Central File Exchange. Abgerufen .
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R2023a
Kompatibel mit R2020a und späteren Versionen
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Version | Veröffentlicht | Versionshinweise | |
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1.3 |