MATLAB: Hölder exponent

frequencyholder exponentsignal processingtime serieswavelet

I would like to know how to calculate the Hölder exponent.

Can someone please explain it in a simple way, somehow step by step? Is there any MATLAB built-in function for this?

Best Answer

Dear Doug Hull

Local Holder Exponents are used for Detection of singularities of the time series ,a kind of local autocorrelation.

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Hi,

There is MATLAB class “gbm” to create Geometric Brownian Motion object. There are functions like simulate, simByEuler, simBySolution that can be used with gbm object for simulation. Here is the link for the documentation for further details:

https://www.mathworks.com/help/finance/gbm.html#d117e65554

https://www.mathworks.com/help/finance/sde.simulate.html

https://www.mathworks.com/help/finance/gbm.simbysolution.html

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dt=1; 
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Try

(-3).^(1.3)

Best Answer

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