Hurst exponent calculation methodology

Question

I am looking for the Hurst exponent calculation methodology. Please suggest online materials / methodology papers.

Linking related question (more specific though): http://stats.stackexchange.com/questions/46553/assumptions-for-hurst-exponent-calculation — Andre Silva, Nov 18 '15 at 14:27
You can find many implementations in Matlab in this link: http://prorum.com/index.php/2173/calcular-expoente-exponent-dependencia-dependence-temporais — DanielTheRocketMan, Feb 09 '16 at 15:54

Shane · Accepted Answer · 2010-10-08T15:05:16.480

8

The calculation is covered on the related wikipedia page.

R has several implementations for this:

The fArma package provides 10 different functions to estimate the Hurst exponent (see LrdModelling).
The Rwave package has the hurst.est() function.
The fractal package has the hurstACVF() function.
The dvfBm package is intended entirely for this purpose: "Hurst exponent estimation of a fractional Brownian motion by using discrete variations methods in presence of outliers and/or an additive noise".

The methods covered by fArma are taken from the "Estimators for Long-Range Dependence: An Empirical Study" (Taqqu, Teverovsky, Willinger 1995).

Edit: Just to add from the M. Tibbits comment below, you can find the Hurst exponent code for Matlab offered under a BSD license. The description:

This is an implementation of the Hurst exponent calculation that is smaller, simpler, and quicker than most others. It does a dispersional analysis on the data and then uses Matlab's polyfit to estimate the Hurst exponent. It comes with a test driver that you can delete.

edited Oct 08 '10 at 15:05

answered Oct 08 '10 at 13:33

Shane

11,961
17
71
89

Thank you! Do you know any Matlab / Mathematica based packages? – Eduardas Oct 08 '10 at 14:12
1

No, I'm afraid not. But R is fully open source so all the algorithms above will be very transparent if you want to re-implement. – Shane Oct 08 '10 at 14:20
2

and if you google for matlab hurst exponent you'll find several. – PeterR Oct 08 '10 at 14:42
First result from google: [Hurst Exponential](http://www.mathworks.com/matlabcentral/fileexchange/9842) – M. Tibbits Oct 08 '10 at 14:59

score 3 · Answer 2 · answered Oct 08 '10 at 23:53

3

Octave has a built-in Hurst Exponent function.

answered Oct 08 '10 at 23:53

babelproofreader

4,544
4
22
35

Hurst exponent calculation methodology

2 Answers2