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- Hurst_exponent abstract "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 which these decrease as the lag between pairs of values increases.Studies involving the Hurst exponent were originally 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 of time. The name "Hurst exponent", or "Hurst coefficient", derives from Harold Edwin Hurst (1880–1978), who was the lead researcher in these studies; the use of the standard notation H for the coefficient relates to his name also.In fractal geometry, the generalized Hurst exponent has been denoted by H or Hq in honor of both Harold Edwin Hurst and Ludwig Otto Hölder (1859–1937) by Benoît Mandelbrot (1924–2010). H is directly related to fractal dimension, D, and is a measure of a data series' "mild" or "wild" randomness.The Hurst exponent is referred to as the "index of dependence" or "index of long-range dependence". It quantifies the relative tendency of a time series either to regress strongly to the mean or to cluster in a direction. A value H in the range 0.5–1 indicates a time series with long-term positive autocorrelation, meaning both that a high value in the series will probably be followed by another high value and that the values a long time into the future will also tend to be high. A value in the range 0 – 0.5 indicates a time series with long-term switching between high and low values in adjacent pairs, meaning that a single high value will probably be followed by a low value and that the value after that will tend to be high, with this tendency to switch between high and low values lasting a long time into the future. A value of H=0.5 can indicate a completely uncorrelated series, but in fact it is the value applicable to series for which the autocorrelations at small time lags can be positive or negative but where the absolute values of the autocorrelations decay exponentially quickly to zero. This in contrast to the typically power law decay for the 0.5 < H < 1 and 0 < H < 0.5 cases.".
- Hurst_exponent wikiPageExternalLink ChaosKit.
- Hurst_exponent wikiPageExternalLink www.trusoft-international.com.
- Hurst_exponent wikiPageID "7847320".
- Hurst_exponent wikiPageRevisionID "599214569".
- Hurst_exponent hasPhotoCollection Hurst_exponent.
- Hurst_exponent subject Category:Fractals.
- Hurst_exponent subject Category:Long-memory_processes.
- Hurst_exponent subject Category:Stochastic_processes.
- Hurst_exponent type Abstraction100002137.
- Hurst_exponent type Act100030358.
- Hurst_exponent type Activity100407535.
- Hurst_exponent type Cognition100023271.
- Hurst_exponent type Concept105835747.
- Hurst_exponent type Content105809192.
- Hurst_exponent type Event100029378.
- Hurst_exponent type Form105930736.
- Hurst_exponent type Fractal105931152.
- Hurst_exponent type Fractals.
- Hurst_exponent type Hypothesis105888929.
- Hurst_exponent type Idea105833840.
- Hurst_exponent type Long-memoryProcesses.
- Hurst_exponent type Model105890249.
- Hurst_exponent type Procedure101023820.
- Hurst_exponent type PsychologicalFeature100023100.
- Hurst_exponent type StochasticProcess113561896.
- Hurst_exponent type StochasticProcesses.
- Hurst_exponent type Structure105726345.
- Hurst_exponent type YagoPermanentlyLocatedEntity.
- Hurst_exponent comment "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 which these decrease as the lag between pairs of values increases.Studies involving the Hurst exponent were originally 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 of time.".
- Hurst_exponent label "Hurst exponent".
- Hurst_exponent label "Hurst-Exponent".
- Hurst_exponent label "Показатель Хёрста".
- Hurst_exponent sameAs Hurst-Exponent.
- Hurst_exponent sameAs m.026g2n5.
- Hurst_exponent sameAs Q1638718.
- Hurst_exponent sameAs Q1638718.
- Hurst_exponent sameAs Hurst_exponent.
- Hurst_exponent wasDerivedFrom Hurst_exponent?oldid=599214569.
- Hurst_exponent isPrimaryTopicOf Hurst_exponent.