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Description: Hurst指数在股票市场有效性分析中的应用，matlab计算。-Hurst index effectiveness analysis in the stock market, the application Matlab calculations.
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Size: 293888 |
Author: 刘大 |
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Description: 计算时间序列的Hurst系数有许多方法，但是其中最准确的就是利用小波法来计算，本程序用Matlab实现了用小波来计算Hurst系数。-Calculation of the Hurst coefficient of time series has a number of ways, but one of the most accurate method is to use wavelet basis, the procedures used to achieve the use of Matlab to calculate the Hurst coefficient of wavelet.
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Size: 59392 |
Author: 蒲峰 |
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Description: 包含了采用不同方法计算hurst指数的matlab程序- it contains several different methods for hurst exponent computation,including rs wavelet and so on
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Size: 95232 |
Author: jiangdan |
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Description: hurst指数
This the source code associated with the web page
http://www.bearcave.com/misl _tech/wavelets/hurst/index.html
There are the following sub-directories in this directory:
hurst
This is the "main" directory, which contains the C++ source code for
the Hurst exponent estimation functions and related tests. The
other directories all support the C++ code in this directory.
stat
Statistics functions (linear regression, autocorrelation, standard
deviation, and probability density function calculation)
data
Source code to read files downloaded from finance.yahoo.com, plus
sample market data files
freq
Wavelet spectrum calculation C++ source code
histo
Source code for calculating histograms
include
Wavelet functions-
This is the source code associated with the web page
http://www.bearcave.com/misl/misl_tech/wavelets/hurst/index.html
There are the following sub-directories in this directory:
hurst
This is the "main" directory, which contains the C++ source code for
the Hurst exponent estimation functions and related tests. The
other directories all support the C++ code in this directory.
stat
Statistics functions (linear regression, autocorrelation, standard
deviation, and probability density function calculation)
data
Source code to read files downloaded from finance.yahoo.com, plus
sample market data files
freq
Wavelet spectrum calculation C++ source code
histo
Source code for calculating histograms
include
Wavelet functions
Platform: |
Size: 490496 |
Author: hyj |
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Description: Hurst参数用来衡量时间序列的相关程度。给出了AVB, R/S, VT, PG, Wavelet等多种方法。-The degree of dependence of a time serie is measured by Hurst paramrter.
AVB, R/S, VT, PG, Wavelet methods are given in this package.
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Size: 2106368 |
Author: HARD |
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Description: 通过RS分析计算hurst指数，可以直接计算整个时间序列，或者小波分解后各阶的H值。-Hurst index calculated by the RS analysis. It can calculate the H value of the time series directly , or after wavelet decomposition .
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Size: 4096 |
Author: zhou |
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Description: 计算时间序列的Hurst系数有许多方法，但是其中最准确的就是运用小波法来计计算，本程序源码用Matlab实现了用小波来计算Hurst系数。
-There are many ways of calculating the Hurst coefficient of time series, but one of the most accurate calculation using wavelet method to count the program source code using Matlab achieve wavelet Hurst coefficient.
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Size: 60416 |
Author: nu |
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Description: 在小波分析及其变换中，Hurst指数的Matlab实现-Wavelet analysis and transformation, Hurst exponent of Matlab achieve
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Size: 3072 |
Author: 颜栋 |
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Description: 基于matlab的hurst指数的估计方法，小波分析法，没有采用小波工具。-Matlab-based hurst index estimation methods, wavelet analysis。
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Size: 638976 |
Author: zhulinglei |
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Description: 估计Hurst指数，用于混沌分形分析，减低小波估计的计算量-Estimated Hurst exponent, chaos fractal analysis, and reducing the amount of calculation for wavelet estimation
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Size: 33792 |
Author: 赵洋 |
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Description: A fractional Fourier transform (FrFT) based estimation
method is introduced in this paper to analyze the
long range dependence (LRD) in time series. The degree of
LRD can be characterized by the Hurst parameter. The FrFTbased
estimation of Hurst parameter proposed in this paper
can be implemented efficiently allowing very large data set.
We used fractional Gaussian noises (FGN) which typically
possesses long-range dependence with known Hurst parameters
to test the accuracy of the proposed Hurst parameter
estimator. For justifying the advantage of the proposed
estimator, some other existing Hurst parameter estimation
methods, such as wavelet-based method and a global estimator
based on dispersional analysis, are compared. The proposed
estimator can process the very long experimental time
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Size: 61440 |
Author: baibai |
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