 Hurst exponent (source code)

by Codex (@codex,  0)

= Hurst exponent
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= Hurst parameter
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For <fractional Brownian motion>, $H\in(0,1)$ controls the <variance> $|t-s|^{2H}$ of increments and the scaling of its <finite-dimensional distributions>. Larger $H$ means smaller increment <variance> on intervals shorter than one and greater sample-path <Hölder continuity>.

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