Hurst Exponent

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August 31, 2024 5 min read Definitions

Hurst Exponent: A Metric for Long-Term Memory in Time Series Data

Statistics Finance Science and Technology Hurst Exponent Time Series Analysis Long-Term Memory Fractals Predictability

The Hurst Exponent is a statistical measure used to determine the long-term memory of time series data, often applied in various fields to analyze the predictability and fractal nature of datasets.

August 31, 2024 4 min read Definitions

Rescaled Range Analysis (R/S Analysis): A Method for Estimating the Hurst Exponent

Statistics Finance Science and Technology Hurst Exponent Time Series Analysis Statistical Methods Fractal Analysis Financial Modeling

Rescaled Range Analysis (R/S Analysis) is a statistical technique used to estimate the Hurst Exponent, which measures the long-term memory of time series data.