Estimating the Hurst Exponent
نویسنده
چکیده
The Hurst Exponent is a dimensionless estimator for the self-similarity of a time series. Initially defined by Harold Edwin Hurst to develop a law for regularities of the Nile water level, it now has applications in medicine and finance. Meaningful values are in the range [0, 1]. Different methods for estimating the Hurst Exponent have been evaluated: The classical “Rescaled Range” method developed by Harold Edwin Hurst. In addition to nowaday’s standard method, two wavelet-based methods have been evaluated and compared, one of which is proven the one with the best convergence [4] developed by Gloter and Hoffmann. A core part of the project was to write software to implement and compare the different algorithms.
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