A Survey of Methods for Estimating Hurst Exponent of Time Sequence

• DOI: 10.48550/arxiv.2310.19051
• Publication Date: 2023-01-01
• Authors: Hongyan Zhang; Zhiqiang Feng; Si-Yu Feng; Yu Zhou
• Keywords: Hurst exponent; Sequence (biology); Representation; Similarity (geometry); Exponent

The Hurst exponent is a significant indicator for characterizing the self-similarity and long-term memory properties of time sequences. It has wide applications in physics, technologies, engineering, mathematics, statistics, economics, psychology so on. Currently, available methods estimating sequences can be divided into different categories: time-domain spectrum-domain based on representation sequence, linear regression Bayesian parameter estimation methods. Although various are discussed literature, there still some deficiencies: descriptions algorithms just mathematics-oriented pseudo-codes missing; effectiveness accuracy not clear; classification considered lack guidance selecting In this work, emphasis put thirteen dominant exponent. For purpose decreasing difficulty implementing with computer programs, mathematical principles briefly presented necessary details. expected that survey could help researchers to select, implement apply interest practical situations an easy way.