% 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@yahoo.com
% 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;
binsize=1;
while npoints>4
y=std(data);
index=index+1;
xvals(index)=binsize;
yvals(index)=binsize*y;
npoints=fix(npoints/2);
binsize=binsize*2;
for ipoints=1:npoints % average adjacent points in pairs
data2(ipoints)=(data(2*ipoints)+data((2*ipoints)-1))*0.5;
end
data=data2(1:npoints);
end % while
xvals=xvals(1:index);
yvals=yvals(1:index);
logx=log(xvals);
logy=log(yvals);
p2=polyfit(logx,logy,1);
hurst=p2(1); % Hurst exponent is the slope of the linear fit of log-log plot
return;
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