Hurst Exponent Calculation

Calculating the Hurst exponent is a method used to detect long-term dependencies in time series data. If you're searching for a MATLAB program to compute the Hurst exponent, you've come to the right place! Below we present a simple yet effective approach to help you calculate the Hurst exponent for your time series data.

First, you need to import your time series data into MATLAB. Then, you'll implement the R/S analysis method to compute the Hurst exponent. The algorithm involves dividing the time series into multiple segments of varying lengths and calculating the mean for each segment. The key implementation steps include computing the cumulative deviation from the mean, determining the range (R) of cumulative deviations, and normalizing it by the standard deviation (S) for each segment. You'll then plot the R/S statistic against the segment size on a log-log scale to determine the Hurst exponent through linear regression.

If you want to delve deeper into Hurst exponent calculation methods, we recommend consulting literature on time series analysis and Hurst exponents. However, we believe this straightforward implementation approach using MATLAB's built-in functions for statistical calculations and regression analysis provides a solid foundation for starting your Hurst exponent computations!