Classification of time series using the Hurst exponent
Sergey A. Nazarychev, A. R. Zagretdinov, Sh G Ziganshin, Yuri V. Vankov · Journal of Physics Conference Series · 2019
Abstract The Hurst exponent allows to classify time series according to the level of their stochasticity. To calculate it, the rescaled range analysis (R/S analysis) is applied. The article presents the R/S analysis algorithm. A program has been developed in the LabView programming environment. Performance check program carried out on the model signals.