Hurst exponent

Known as: Hurst, Hurst coefficient, Hurst parameter 
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… (More)
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2012
2012
We estimated Hurst exponent of twelve stock index series from across the glove using daily values of for past ten years and found… (More)
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2011
2011
The Hurst Exponent is a dimensionless estimator for the self-similarity of a time series. Initially defined by Harold Edwin Hurst… (More)
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2010
2010
In this paper, we show how the sampling properties of Hurst exponent methods of estimation change with the presence of heavy… (More)
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2007
2007
We use a new method of studying the Hurst exponent with time and scale dependency. This new approach allows us to recover the… (More)
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2006
2006
Applied in many areas, from original hydrology to modern computer networking, Hurst exponent provides us with an indicator that… (More)
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2005
2005
The Hurst exponent (H) is a statistical measure used to classify time series. H=0.5 indicates a random series while H>0.5… (More)
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2005
2005
Huang's data-driven technique of empirical mode decomposition (EMD) is applied to the versatile, broadband, model of fractional… (More)
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Highly Cited
2004
Highly Cited
2004
NC OR RE CT ED P R Abstract We calculate the Hurst exponent HðtÞ of several time series by dynamical implementation of a recently… (More)
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1998
1998
We propose a method for ~global! Hurst exponent determination based on wavelets. Using this method, we analyze synthetic data… (More)
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1996
1996
Wavelet packet analysis was used to measure the global scaling behaviour of homogeneous fractal signals from the slope of decay… (More)
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