Monthly Archives: September 2011

http://www.qass.org.uk/2009/Vol_3/paper4.pdf

There aren’t too many straightforward guides to fitting ARFIMA models in Matlab. This short guide will help the beginner get started. Use Genhurst.m to calculate H, the Hurst Exponent. You need to give it a non-stationary time series. For example, … Continue reading →