Rescaled Range Analysis

版本 1.0.0.0 (1.8 KB) 作者: Alexandros Leontitsis
Calculates the rescaled range analysis.
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更新时间 2004/1/6

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Accorting to the references the Rescaled Range Analysis can reveal non-periodic cycles time series. It has found many applications on the financial time series, although the underlying theory is not convincing. This m-file contains the basic algorithm and 4 proposed variations. The estimation of the Hurst exponents is up to the user.

引用格式

Alexandros Leontitsis (2024). Rescaled Range Analysis (https://www.mathworks.com/matlabcentral/fileexchange/4325-rescaled-range-analysis), MATLAB Central File Exchange. 检索时间: .

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版本 已发布 发行说明
1.0.0.0