HurstExponentTransformer

Transformer for calculating the Hurst exponent of a time series.

Quickstart

from sktime.transformations.hurst import HurstExponentTransformer

estimator = HurstExponentTransformer(lags: list [int ] | range | None=None, method: str='rs', min_lag: int=2, max_lag: int=100, fit_trend: str='c', confidence_level: float=0.95)

Parameters(6)

lagsOptional[Union[List[int], range]], default=None

The lags to use for calculation. If None, uses a range based on min_lag and max_lag.

methodstr, default=’rs’

The method to use for Hurst exponent calculation. Either ‘rs’ (rescaled range) or ‘dfa’ (detrended fluctuation analysis).

min_lagint, default=2

The minimum lag to use if lags is None.

max_lagint, default=100

The maximum lag to use if lags is None.

fit_trendstr, default=’c’

The trend component to include in the calculation.

confidence_levelfloat, default=0.95

The confidence level for the confidence interval calculation.

Examples

>>> from sktime.transformations.hurst import HurstExponentTransformer
>>> from sktime.datasets import load_airline
>>> y = load_airline ()
>>> transformer = HurstExponentTransformer ()
>>> y_transform = transformer. fit_transform (y)