MATLAB hurst指数计算,Hurst指数的Matlab实现

% The Hurst exponent

%--------------------------------------------------------------------------

% The first 20 lines of code are a small test driver.

% You can delete or comment out this part when you are done validating the % function to your satisfaction.

%

% Bill Davidson, quellen@http://www.doczj.com/doc/106a13284b73f242336c5f12.html

% 13 Nov 2005

function []=hurst_exponent()

disp('testing Hurst calculation');

n=100;

data=rand(1,n);

plot(data);

hurst=estimate_hurst_exponent(data);

[s,err]=sprintf('Hurst exponent = %.2f',hurst);disp(s);

%--------------------------------------------------------------------------

% This function does dispersional analysis on a data series, then does a

% Matlab polyfit to a log-log plot to estimate the Hurst exponent of the

% series.

%

% This algorithm is far faster than a full-blown implementation of Hurst's

% algorithm. I got the idea from a 2000 PhD dissertation by Hendrik J

% Blok, and I make no guarantees whatsoever about the rigor of this approach % or the accuracy of results. Use it at your own risk.

%

% Bill Davidson

% 21 Oct 2003

function [hurst] = estimate_hurst_exponent(data0) % data set

data=data0; % make a local copy

[M,npoints]=size(data0);

yvals=zeros(1,npoints);

xvals=zeros(1,npoints);

data2=zeros(1,npoints);

index=0;