tiaotiaotang 发表于 2011-12-11 19:51 
这个结果我懂了,请问maxT是什么作用?
当计算generalized Hurst exponent H时,
maxT是用来决定取样的窗宽范围
http://en.wikipedia.org/wiki/Hurst_exponent
假设maxT=19,则Tmax=5,6,7,.....19.
每个Tmax可以计算出一个 H value
H'=[0.3604 0.4488 0.4660 0.4515 0.4511
0.4241 0.4009 0.3667 0.3632 0.3468
0.3507 0.3527 0.3560 0.3267 0.2995]
mH = mean(H)'./q(:)
= 0.3843
底下以S=cumsum(randn(
100,1));
q=[1];Tmax=5为例说明:
Tmax=5:maxT
Tmax=5
x = 1:Tmax % 1 2 3 4 5
tt = 1:Tmax
当tt=1,取样N=100 (1,2,3,.........100)
当tt=2,取样N= 50 (1,3,5,.........100)
当tt=3,取样N= 34 (1,4,7,.........100)
当tt=4,取样N= 25 (1,5,9,.......... 97)
当tt=5,取样N= 20 (1,6,11,.........96)
计算出一个 H = 0.3604
同理类推
当maxT=6
Tmax=5:maxT
Tmax=5
x = 1:Tmax % 1 2 3 4 5
tt = 1:Tmax
当tt=1,取样N=100 (1,2,3,.........100)
当tt=2,取样N= 50 (1,3,5,.........100)
当tt=3,取样N= 34 (1,4,7,.........100)
当tt=4,取样N= 25 (1,5,9,.......... 97)
当tt=5,取样N= 20 (1,6,11,.........96)
Tmax=6
x = 1:Tmax % 1 2 3 4 6
tt = 1:Tmax
当tt=1,取样N=100 (1,2,3,.........100)
当tt=2,取样N= 50 (1,3,5,.........100)
当tt=3,取样N= 34 (1,4,7,.........100)
当tt=4,取样N= 25 (1,5,9,......... 97)
当tt=5,取样N= 20 (1,6,11,.........96)
当tt=6,取样N= 17 (1,7,13,.........97)