www.gusucode.com > wavelet 源码程序 matlab案例代码 > wavelet/HurstParameterEstimationExample.m
%% Hurst Parameter Estimation % This example shows how to estimate the Hurst index of a fractional % Brownian motion. The example simulates 1,000 realizations of fractional % Brownian motion with H=0.6. Each realization consists of 10,000 samples. % At the end of the simulation, the three estimates of the Hurst index are % compared. %% % Initialize the random number generator for repeatable results. Set the % Hurst index equal to 0.6 and the length of the realizations to be 10,000. % Copyright 2015 The MathWorks, Inc. rng default; H = 0.6; len = 10000; %% % Generate 1,000 realizations of fractional Brownian motion and compute the % estimates of the Hurst parameter. n = 1000; Hest = zeros(n,3); for ii = 1:n fBm06 = wfbm(H,len); Hest(ii,:) = wfbmesti(fBm06); end %% % Compare the estimates. subplot(311), histogram(Hest(:,1)); title('Discrete second derivative estimator (DSOD)') subplot(312), histogram(Hest(:,2)); title('Wavelet version of DSOD') subplot(313), histogram(Hest(:,3)); title('Wavelet details regression estimator') xlabel('True value of the parameter H = 0.6')