hurst 指数计算程序提示

资 源 简 介

hurst 指数计算程序提示：先导入（import）时间序列数据，再进行计算。

详 情 说 明

To calculate the Hurst exponent, first import the time series data into the program. Once you have imported the data, there are several steps to follow in order to perform the calculation. One approach is to first calculate the range of the time series, which involves identifying the maximum and minimum values of the time series. Next, you will need to partition the time series into smaller segments and calculate the average range of each segment. The final step is to plot the average range over the segment size on a logarithmic scale and calculate the slope of the resulting line. This slope is the Hurst exponent, which can be used to characterize the long-term memory of the time series.