Abstract

The following section presents the case study of an analysis of the Hurst exponent. It was done both to demonstrate the results of research and to highlight the value of the graphical estimators for time series with large horizons. The three previous presented graphical estimators are used: domain rescaling, time–dispersion diagram, and the periodogram. In order to implement these methods for determining the Hurst parameter, the MATLAB software package was used, which offers the user a powerful command interpreter as well as a series of predefined functions optimized for numerical computations.