Hurst Exponent

Calculates the Hurst exponent of a time series based on Rescaled range (R/S) analysis.
Reference: https://en.wikipedia.org/wiki/Hurst_exponent

Environment

Python 3.6.2 AMD64
numpy (1.13.3+mkl)
pandas (0.20.3)

User Guide

import Hurst
ts = list(range(50))
hurst = Hurst.hurst(ts)

Tips

The input ts has to be object list(n_samples,) or np.array(n_samples,).