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Are there any general assumptions for the calculation of the Hurst exponent?

  • Does the signal need to be stationary, for example?

  • Does it depend on the method?

  • What about the length of the time series, is longer better?

I am interested in using implementing it for the analysis of an EEG signal. I have read many articles but can't find answers for these questions.

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1 Answer 1

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The best is to calculate Hurst for stationary data and you can calculate it as well as from wavelet transforms. Results are different

In calculating Hurst you have to place a range. You can calculate Hurst for short or for the length of the series, depending on what its use is (shorter if you want to see the variation of the exponent across a series or the whole range if you want to evaluate the whole series. However Hurst can fluctuate significantly depending on the period you select.

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