Generalized Hurst exponent
Calculates the generalized Hurst exponent H(q) of a stochastic variable x(t) (a time series) from the scaling of the renormalized q-moments of the distribution
<|x(t+r)-x(t)|^q>/<x(t)^q> ~ r^[qH(q)]
The value of H(q) give indication about the fractal nature of the signal. H(q) = 0.5 corresponds to a Brownian motion, deviations form 0.5 and dependency on q are indications of multi-fractality and time-correlations.
Zitieren als
Tomaso Aste (2024). Generalized Hurst exponent (https://www.mathworks.com/matlabcentral/fileexchange/30076-generalized-hurst-exponent), MATLAB Central File Exchange. Abgerufen .
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Inspiriert: Generalized Hurst Exponent Temporal Pattern Calculation
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Version | Veröffentlicht | Versionshinweise | |
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1.2.0.0 | minor changes |
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1.1.0.0 | Minor changes. |
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