stats_hurst-exponent
Calculate the Hurst exponent to classify a time series as mean-reverting, random walk, or trending. Provide a series to get exponent, classification, and confidence.
Instructions
Hurst exponent via rescaled range (R/S) analysis.
Use when determining if a time series is mean-reverting (H<0.5), random walk (H=0.5), or trending (H>0.5). Provide a price or return series. Returns: Hurst exponent via R/S analysis, classification, and confidence.
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| series | Yes | Time series data | |
| max_window | No | Maximum R/S window size (defaults to len/2) | |
| min_window | No | Minimum R/S window size |