regression_rs.m

计算hurst指数 主程序 利用经典的RS分析法计算分形H指数

function [P,S,EP,ES]=regression_RS(X)
M=length(X);
m=M/2;
syms k S
E_RS=ERS(X);
for i=10:m
    
    RS(i-9)=R_S(X,i);
    log_RS(i-9)=log(RS(i-9));
    
    log_ERS(i-9)=log(E_RS(i-9));
    log_N(i-9)=log(i);
    V(i-9)=R_S(X,i)/sqrt(i);
    N(i-9)=i;
    LOG_N(i-9)=log(N(i-9));
    S=0;
    for k=1:i-1
        S=S+sqrt((i-k)/k);
    end
    
end
[MAX_V,I]=max(V);
[P,S]=polyfit(log_N(1:I),log_RS(1:I),1);
[EP,ES]=polyfit(log_N(1:I),log_ERS(1:I),1);%obtain the mean of H--EP
H_var=1/M;%obtain the Var of H
subplot(2,1,1);
plot(LOG_N,V)
xlabel('logN');     
ylabel('Value V');       
subplot(2,1,2);
plot(LOG_N,log_RS)
xlabel('logN');     
ylabel('log(R/S)');