 Usage:  (ra,b,q)=hurst(x,k)  

 

 Input:



  x                      n x 1 vector, observations of the process 

                         

  k                      scalar, maximal number of intervals for the R/S statistic 

                         

 Output:



  ra                     (k-2) x 3 matrix, ra[,1] = (1, ... ,1)', 

                         ra[,2] = log(n/3, n/4, ... ,n/k)', 

                         ra[,3] = log(RS) 

                         

  b                      2 x 1 vector, b[1] = intercept of the R/S-line, 

                         b[2] = slope of R/S line, 

                         b solves the 

                         regression problem ra[,3] = b[1] + b[2]*ra[,2] 

                         

  q                      scalar, residual varince of the regression problem 

                         

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(C) MD*TECH Method and Data Technologies, 21.9.2000

