Metadata-Version: 2.1
Name: hurst-exponent
Version: 0.1.1
Summary: Hurst exponent estimator
Home-page: https://github.com/anabugaenko/hurst_exponent
License: MIT
Keywords: hurst,autocorrelation,time-series,fractals
Author: Anastasia Bugeenko
Author-email: anabugaenko@gmail.com
Requires-Python: >=3.9,<4.0
Classifier: Intended Audience :: Science/Research
Classifier: License :: OSI Approved :: MIT License
Classifier: Operating System :: OS Independent
Classifier: Programming Language :: Python :: 3
Classifier: Programming Language :: Python :: 3.9
Classifier: Programming Language :: Python :: 3.10
Classifier: Programming Language :: Python :: 3.11
Classifier: Topic :: Scientific/Engineering :: Mathematics
Requires-Dist: matplotlib
Requires-Dist: numpy
Requires-Dist: pandas
Requires-Dist: scipy
Requires-Dist: statsmodels
Requires-Dist: stochastic
Requires-Dist: typing
Project-URL: Repository, https://github.com/anabugaenko/hurst_exponent
Description-Content-Type: text/markdown

# Hurst Estimator

Estimate the Hurst exponent of a random variable using robust statistical methods. Our package provides methods to compute the Hurst exponent (a statistical measure of long-term memory) using the standard deviation of sums and a generalized method through the structure function. 

## Features:

  - Support for both standard and generalized Hurst exponent calculations.
  - Goodness of fit metrics.
  - Interpretation of Hurst exponent values.
  - Ability to plot and visualize fit results.
  - Bootstrap functionality for additional statistics.
  - Compute linear and nonlinear autocorrelation functions (ACF)
  - Test suite test suite is meant to validate the functionality of Hurst exponent estimators.
  - Other hurst estimation methods will be supported in the near future.

This repository is actively being developed and any tickets will be addressed in order of importance. Feel free to raise an issue if you find a problem.

## Installation 

To get started;

`pip install hurst_exponent`


### Dependencies
Ensure the following dependencies are installed before utilizing the package.

  - numpy
  - pandas
  - powerlaw_function
  - stochastic

## Basic Usage 

This tells you everything you need to know for the simplest, typical, use cases:
  
~~~python
from hurst_exponent import standard_hurst, generalized_hurst

# Define your time series data
series = [...]

# Estimate Hurst Exponent using standard method
hurst_std, fit_std = standard_hurst(series)

# Estimate Hurst Exponent using generalized method
hurst_gen, fit_gen = generalized_hurst(series)

# Print results
print(f"Standard Hurst Exponent: {hurst_std}")
print(f"Generalized Hurst Exponent: {hurst_gen}")
~~~

## Documentation

### Main Functions
  ~~~python
  standard_hurst(series: np.array, ...):
  ~~~
  Compute the Hurst exponent using the standard deviation of sums.

  ~~~python
  generalized_hurst(series: np.array, ...):
  ~~~
  Computes the generalized Hurst exponent using the structure function method.


### Utils
~~~python
  bootstrap(estimator: Callable, ...):
~~~
  
  Generates bootstrap samples.

### Hurst Estimators Test Suite

Our Hurst Estimators Test Suite ensures the robustness and accuracy of the  standard_hurst and generalized_hurst estimators in the context of time series analysis.

#### Highlights:

Tests various hyperparameter combinations for both the generalized and standard Hurst estimators.

  ##### Estimators;
  
    - Simulation: Uses Geometric Brownian Motion (GBM) to simulate data for testing, representing a standard model for stock price movements with a known Hurst of 0.5.

    - Bootstrapping: Repeated sampling is employed to create a distribution of Hurst estimates for statistical validation.

  ##### Core Tests;

    - Unbiasedness: Checks if the estimator accurately identifies a random walk in GBM data.
    - Validity: Ensures estimates fall within the [0, 1] range.
    - Confidence Intervals: Validates that the 95% CI aligns with bounds cited in major literature.
  
To delve into the specifics, review the test suite source code.

# License
This project is licensed under the MIT License. See the LICENSE.md file for details.




