Great peace of code! I was looking long time around to find it.
- Maybe the various methods could briefly be summarized so that terminological variations can be cleared.
Hi Chu,
I would like to estimate the Hurst coefficient so I can determine if my data series is persistent (H>0.5), antipersistent (H<0.5), or neutral (H=0.5). Several of the estimates I get are, for example, H = 1.8, or H=1.6, H=0.9....should I disregard the whole number and concentrate only on the decimals for interpreting persistence?
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