GPH: MATLAB function to estimate the Hurst exponent using the Geweke-Porter-Hudak (1983) spectral estimator (periodogram regression method)
Rafał Weron · RePEc: Research Papers in Economics · 2011
GPH(X) returns the Hurst exponent H of a time series X estimated using the Geweke-Porter-Hudak (1983) spectral estimator for periods lower than max(period)^CUTOFF, where CUTOFF=0.5. GPH(X, CUTOFF) allows to specify a CUTOFF different then 0.5. [H, CONF_LO, CONF_HI]=GPH(X, CUTOFF, CONF_LEVEL) also returns the asymptotic confidence interval [CONF_LO, CONF_HI] at a given (two sided) confidence level (default: CONF_LEVEL=0.95).