screamer.js
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    Function RollingHurst

    • Rolling-window Hurst exponent via Anis-Lloyd corrected rescaled-range analysis.

      Parameters

      • windowSize: number = 256

        Trailing-window length. Must be >= 4 * min_scale.

      • minScale: number = 4

        Smallest R/S block size. Dyadic scales are min_scale, 2*min_scale, ... up to window_size/2.

      • method: string = "rs"

        Estimator family. Currently only Anis-Lloyd corrected R/S.

      Returns ScreamerOp

      https://screamer.readthedocs.io/en/latest/ for the Python reference and full details.

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