GitHub topics: hurst
dirge1/FBM_ADT
code of the paper "Reliability modeling and statistical analysis of accelerated degradation process with memory effects and unit-to-unit variability" fractional Brownian motion, random effects, wiener process, stochastic, expectation maximization, EM algorithm, parameter estimation, FBM, uncertainty quantification, assessment, non-Markovian
Language: MATLAB - Size: 739 KB - Last synced at: 25 days ago - Pushed at: 25 days ago - Stars: 3 - Forks: 1
hyperstripe50/fractal-market-analysis
We are hard pressed to find a concrete implementation of both Benoit Mandelbrot's "A Multifractal Model of Asset Returns" and Edgar E. Peters' "Fractal Market Analysis" so, with apologies to the Authors, we attempt to fill this vacancy.
Language: Python - Size: 6.86 MB - Last synced at: 27 days ago - Pushed at: over 2 years ago - Stars: 55 - Forks: 16
roverbird/hurst-smoothing
Hurst value as a result of data smoothing
Language: R - Size: 177 KB - Last synced at: 3 months ago - Pushed at: 3 months ago - Stars: 0 - Forks: 0
taylorfturner/rescaledrange
Rescaled Ranges by H.E. Hurst. Great for use in time series analysis for anything that ticks in markets. A simple interface into a package rife with possible uses. Already setup for massive scalability with Prefect and Dask.
Language: Python - Size: 1.07 MB - Last synced at: 12 months ago - Pushed at: almost 4 years ago - Stars: 1 - Forks: 1
diogo-fernan/testh
A C library to compute self-similar sequences and to estimate the Hurst parameter.
Language: C - Size: 59.6 KB - Last synced at: 12 months ago - Pushed at: almost 6 years ago - Stars: 4 - Forks: 3
RyanWangZf/Hurst-exponent-R-S-analysis-
Calculates the Hurst exponent of a time series based on Rescaled range (R/S) analysis.
Language: Python - Size: 6.84 KB - Last synced at: 11 months ago - Pushed at: almost 7 years ago - Stars: 46 - Forks: 23
