estimirs

Computes the Hurst parameter based on a increment ratio statistic method for a 1D signal

Syntax

H = estimirs(X)
H = estimirs(X,EPS)

Description

H = estimirs(X) Estimates the Hurst parameter of the 1D signal X.

H = estimirs(X,EPS) Estimates the Hurst parameter using a specific tolerence, EPS. If the tolerence is not specified EPS = 1e-5.

Examples

References

[1] Bardet, J-M. & Surgailis, D. Measuring the roughness of random paths by increment ratios. hal-00238556, version 1 - 4 Feb 2008