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Hurst exponent

The Hurst exponent is used as a measure of long-term memory of time series. It relates to the autocorrelations of the time series, and the rate at which these decrease as the lag between pairs of values increases. Studies involving the Hurst exponent were originally developed in hydrology for the practical matter of determining optimum dam sizing for the…

Measurement, Generalized exponent & Estimating the exponent

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Overview

Definition

Estimating the exponent

Generalized exponent

Implementations

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Map overview Semantic statistics

Hurst exponent

Nodes51
Edges50
Triples33
Avg. degree1.96
Density0.039216
Components1

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Hurst exponent

Top relations

related to Implementations · 9
Hurst exponent → DFA, Hurst, LRydin/MFDFAMatlab, Matlab, MFDFA, Mottl/hurst, Python, R/S, RePEc
related to Confidence intervals · 7
Hurst exponent → Anis-Lloyd, DFA, However, Hurst, No, R/S, Weron
related to Generalized exponent · 6
Hurst exponent → For, Hurst, Mathematically, The, There, Xt
related to Rescaled range (R/S) analysis · 6
Hurst exponent → For, Hurst, N/2, N/4, The, To
related to Relation to Fractal Dimension · 3
Hurst exponent → For, Hurst, The
related to Definition · 2
Hurst exponent → Cn, The Hurst

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Important terminology

time exponent hurst series displaystyle range rescaled values value analysis also fractal frac power indicates dimension function used data long-range

Entity relationships Subject–Predicate–Object triples

SubjectPredicateObjectConfidenceSrc
Hurst exponentrelated to Confidence intervalsNo0.60section
Hurst exponentrelated to Confidence intervalsHurst0.60section
Hurst exponentrelated to Confidence intervalsHowever0.60section
Hurst exponentrelated to Confidence intervalsWeron0.60section
Hurst exponentrelated to Confidence intervalsAnis-Lloyd0.60section
Hurst exponentrelated to Confidence intervalsR/S0.60section
Hurst exponentrelated to Confidence intervalsDFA0.60section
Hurst exponentrelated to DefinitionThe Hurst0.60section
Hurst exponentrelated to DefinitionCn0.60section
Hurst exponentrelated to Generalized exponentThe0.60section
Hurst exponentrelated to Generalized exponentHurst0.60section
Hurst exponentrelated to Generalized exponentXt0.60section

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