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Classification of time series using the Hurst exponent

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Published under licence by IOP Publishing Ltd
, , Citation S A Nazarychev et al 2019 J. Phys.: Conf. Ser. 1328 012056 DOI 10.1088/1742-6596/1328/1/012056

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nazarichev.sa@gmail.com

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1 Kazan Federal University, 18 Kremlyovskaya str., Kazan 420008, Russian Federation

2 Kazan State Power Engineering University, 51 Krasnoselskaya str., Kazan 420066, Russian Federation

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1742-6596/1328/1/012056

Abstract

The Hurst exponent allows to classify time series according to the level of their stochasticity. To calculate it, the rescaled range analysis (R/S analysis) is applied. The article presents the R/S analysis algorithm. A program has been developed in the LabView programming environment. Performance check program carried out on the model signals.

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10.1088/1742-6596/1328/1/012056