Fast and unbiased estimator of the time-dependent Hurst exponent
We combine two existing estimators of the local Hurst exponent to improve both the goodness of fit and the computational speed of the algorithm. An application with simulated time series is implemented, and a Monte Carlo simulation is performed to provide evidence of the improvement. The estimation of the Hurst exponent of a time series is a recurring problem of great interest in many fields: finance, biology, hydrology, ecology, and signal processing, to quote a few.