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Generalized Hurst exponent

version 1.2.0.0 (2.08 KB) by Tomaso Aste
Generalized Hurst exponent of a stochastic variable

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Updated 31 Jan 2013

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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.

Cite As

Tomaso Aste (2021). Generalized Hurst exponent (https://www.mathworks.com/matlabcentral/fileexchange/30076-generalized-hurst-exponent), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2011a
Compatible with any release
Platform Compatibility
Windows macOS Linux
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