Nonfactional Matlab Toolbox (for hurst exponent)

Matlab code to calculate the Hurst Exponent.

The toolbox code is on github @ https://github.com/wonsang/nonfractal

Example usage for Trakoshis et al eLife 2020 is also on github https://github.com/elifesciences-publications/ei_hurst

lb (input to fminbnd(@(x)likelihood(…),lb,ub,…)) matters! All zeros ts with default lb(1)=-.5 ⇒ H=0.76393; lb(1)=0 ⇒ H=1.0729

addpath(genpath('/opt/ni_tools/matlab_toolboxes/nonfractal/'))
 
H = bfn_mfin_ml(zeros(200,1), 'filter', 'Haar', 'lb', [0 0], 'ub', [1.5 10], 'd_only', 1);
% Rep.1: Signew2=0: fval=NaN, d=0.57295
% q=1: H=1.0729
 
H = bfn_mfin_ml(zeros(200,1), 'filter', 'Haar', 'lb', [-.5 0], 'ub', [1.5 10], 'd_only', 1);
% Rep.1: Signew2=0: fval=NaN, d=0.26393
% q=1: H=0.76393