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Hurst exponent is a simple, powerful and widely used measure of a long-term memory of time series.

What is are the disadvantages of this measure for checking long-range dependence in the series and what else could be used instead of Hurst exponent?

ABK
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  • "Analogue of Hurst exponent" for what purpose in what context? – whuber Jan 27 '20 at 15:38
  • Dear @whuber, I have clarified. Thank you! – ABK Jan 27 '20 at 15:44
  • I suspect you don't mean to write "analogue:" this word connotes a *different context* and asks for what might *substitute* for the Hurst exponent in that context. So, if "analogue" really is your intention, then please describe the different context; but if it is not your intention, then please formulate your question using a different word. – whuber Jan 27 '20 at 15:46
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    Dear @whuber, I have edited the question and the title. – ABK Jan 27 '20 at 16:01

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