The Hurst exponent is often referred to as the "index of dependence" or "index of long-range dependence." What is the long memory of a process? It relates to the time series's autocorrelations and the rate at which these decrease as the lag between pairs of values increases. The Hurst exponent (H) is used as a measure of long-term memory of time series. Studies involving the Hurst exponent were initially developed in hydrology for the practical matter of determining optimum dam sizing for the Nile river's volatile rain and drought conditions that had been observed over a long period. The name "Hurst exponent," "Hurst Index", or "Hurst coefficient", derives from Harold Edwin Hurst (1880–1978), who was the lead researcher in these studies. ![]() ![]() Occasionally, our support desk receives inquiries about Hurst exponent: what is it? How do we use it in Excel? And how do we interpret the calculated values? In this issue, we will go over the Hurst exponent in-depth, and hopefully, help you develop an intuition and insight for the Hurst exponent.
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