Hurst Exponent estimation

[Udayan Karnatak]

Dear Sir,
1. I want to estimate Hurst exponent.
2. I am a beginner, kindly guide me how can I use Octave to estimate this
metric.
3. kindly send me the procedure.

[Juan Pablo Carbajal]

Hi,

Have you already tested this code?
https://ideas.repec.org/s/wuu/hscode.html

On Sat, Oct 20, 2018 at 2:14 PM Udayan Karnatak

Post by Udayan Karnatak
Dear Sir,
1. I want to estimate Hurst exponent.
2. I am a beginner, kindly guide me how can I use Octave to estimate this metric.
3. kindly send me the procedure.
--
Best,
Udayan Karnatak
[phone]

[Francesco Potortì]

Post by Udayan Karnatak
1. I want to estimate Hurst exponent.

The signal package contains a simple hurst function.

Many years ago, I wrote a more sophisticated hurst function myself, you
find it at
<http://fly.isti.cnr.it/pub/software/octave/hurst.m>