Questions tagged [hurst-exponent]

The tag has no usage guidance.

Filter by
Sorted by
Tagged with
0
votes
0answers
24 views

Problem with Hurst exponent estimation for ARFIMA models

guys. I try to realize my ARFIMA model identification script in R. I try to find the best method for unbiased Hurst exponent estimation (fractional difference parameter could be found as Hurst - 0.5) ...
2
votes
1answer
22 views

Why does the Hurst package apply a finite-differencing step before doing rescaled range calculations?

When I look at the code for the compute_Hc function in the Hurst package for Python, there is an initial finite differencing step. Everything else after that agrees ...
3
votes
0answers
120 views

Biased estimates of Hurst exponent in R/S analysis

I've used the standard R/S algorithm for estimating the Hurst exponent in Mathematica*, and tested it on fBm and fGn for $H\in\{0.05,0.1,\ldots,0.95\}$, generating 1000 time series for each $H$. The ...