Comments (2)
Mottl
commented on June 8, 2024
1
Not random series, but the random walk should generate H=0.5 and actually does:
random_increments = np.random.randn(99999)
series = np.cumsum(random_increments) # create a random walk from random increments
H, c, data = compute_Hc(series)
print("H={:.4f}, c={:.4f}".format(H,c))H=0.4999, c=1.4671
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StevenLOL
commented on June 8, 2024
Thanks.
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Related Issues (11)
- Hurst Exponents Above 1.0? HOT 1
- Series length condition
- NameError: name 'hurst' is not defined HOT 1
- kind in compute_Hc HOT 2
- Fix HOT 1
- Error in __get_RS for kind='change' in release 0.0.4 HOT 1
- Finite differencing step at the beginning when kind='random_walk'?
- Hurst exponent less than 0 or greater than 1? HOT 7
- Hurst exponent HOT 1
- FloatingPointError: invalid value encountered in double_scalars
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