Hurst exponent calculation methodology I am looking for the Hurst exponent calculation methodology. Please suggest online materials / methodology papers.
 A: The calculation is covered on the related wikipedia page.
R has several implementations for this:


*

*The fArma package provides 10 different functions to estimate the Hurst exponent (see LrdModelling).

*The Rwave package has the hurst.est() function.

*The fractal package has the hurstACVF() function.

*The dvfBm package is intended entirely for this purpose: "Hurst exponent estimation of a fractional Brownian motion by using discrete variations methods in presence of outliers and/or an additive noise".


The methods covered by fArma are taken from the "Estimators for Long-Range Dependence: An Empirical Study" (Taqqu, Teverovsky, Willinger 1995).
Edit: Just to add from the M. Tibbits comment below, you can find the Hurst exponent code for Matlab offered under a BSD license.  The description:

This is an implementation of the Hurst
  exponent calculation that is smaller,
  simpler, and quicker than most others.
  It does a dispersional analysis on the
  data and then uses Matlab's polyfit to
  estimate the Hurst exponent. It comes
  with a test driver that you can
  delete.

A: Octave has a built-in Hurst Exponent function.
