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All Projects → RyanWangZf → Hurst-exponent-R-S-analysis-

RyanWangZf / Hurst-exponent-R-S-analysis-

Licence: MIT License
Calculates the Hurst exponent of a time series based on Rescaled range (R/S) analysis.

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python
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timeseriestime-serieshurst

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Hurst Exponent

Calculates the Hurst exponent of a time series based on Rescaled range (R/S) analysis.
Reference: https://en.wikipedia.org/wiki/Hurst_exponent

Environment

Python 3.6.2 AMD64
numpy (1.13.3+mkl)
pandas (0.20.3)

User Guide

import Hurst
ts = list(range(50))
hurst = Hurst.hurst(ts)

Tips

The input ts has to be object list(n_samples,) or np.array(n_samples,).

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