Questions tagged [hurst-exponent]

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Correlation Matrix for a Hurst exponent

I am trying to implement the Correlation matrix for a given Hurst coefficient according to Hamed (2008). This is the equation I want to implement for a value of H= 0.5 I am doing in the following way:...
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How to show dfferent Hurst Parameters on the same random process

I would like to show on a graph the effect of different Hurst Parameters on the same random process. I can show this using the package here: https://pypi.org/project/fbm/ By running the below (3 times ...
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Hurst estimation in small samples

I'm trying to estimate the Hurst exponent of a time series which I believe behaves as a fractional Brownian motion. My problem is that all the estimation methods I have found so far (r/s, Whittle, etc....
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estimate Hurst parameter /fBM

Assuming I have a stationary time series, which I have reason to believe behaves as a fractional Brownian motion: How could I test this (that it's a fBM) and, related, how could I best estimate the ...
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216 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 ...
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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 ...