hurstcaculate

代码说明：

说明：  hurst指数估计 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. (hurst 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. )