资源简介
RS法进行hurst指数的估计 RS法进行hurst指数的估计
代码片段和文件信息
function H = RS(sequenceisplot)
%
% ‘RS‘ estimate the hurst parameter of a given sequence with R/S method.
%
% Inputs:
% sequence: the input sequence for estimate
% isplot: whether display the plot. without a plot if isplot equal to 0
% Outputs:
% H: the estimated hurst coeffeient of the input sequence
% Author: Chu Chen
% Version 1.0 03/10/2008
% chen-chu@163.com
%
if nargin == 1
isplot = 0;
end
N = length(sequence);
dlarge = floor(N/5);
dsmall = max(10log10(N)^2);
D = floor(logspace(log10(dsmall)log10(dlarge)50));
D = unique(D);
n = length(D);
x = zeros(1n);
y = zeros(1n);
R = cell(1n);
S = cell(1n);
for i = 1:n
d = D(i);
m = floor(N/d);
R{i} = zeros(1m);
S{i} = zeros(1m);
matrix_sequence = resh
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