I am looking for the Hurst exponent calculation methodology. Please suggest online materials / methodology papers.
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.
Octave has a built-in Hurst Exponent function.