Hurstparameter
The Hurst parameter, often denoted by H, is a measure of the long-term memory of a time series. It quantifies the degree of persistence or anti-persistence in the data. A Hurst parameter value between 0.5 and 1 indicates a persistent time series, meaning that past trends are likely to continue. A value between 0 and 0.5 suggests an anti-persistent time series, where past trends are likely to reverse. A Hurst parameter exactly equal to 0.5 implies a random walk, with no memory or predictability in the series.
The concept was introduced by Harold Edwin Hurst, a British hydrologist, in his work on Nile River
The Hurst parameter can be estimated using various methods, with rescaled range (R/S) analysis being the original