hurstExponent: Function used to calculate the generalized hurst exponent

In zlfccnu/econophysics: Functions for econophysics

Description

Function used to calculate the generalized hurst exponent

Usage

hurstExponent(
  x,
  nVec = NULL,
  sampleNum = NULL,
  thread = 3,
  qVec = c(-5:5),
  detrendOrder = 3,
  sampleMethod = 2,
  lengthRatio = 0.05
)

Arguments

x	a numeric vector which convert from a time series
nVec	the time scale of the detrended operation, the minmum scale should be determined by calculate the autocorrelation length of the time series.
sampleNum	the random sampled number
thread	the parallel thread number
qVec	the qth order
detrendOrder	the detrending polynomial order
sampleMethod	1 means the determined sample number method, other values mean the nonoverlap method

Value

the generalized hurst exponent,a data.frame

zlfccnu/econophysics documentation built on Feb. 23, 2022, 10:22 p.m.