When I look at the code for the compute_Hc function, there is an initial finite differencing step. Everything else after that agrees with Wikipedia's description of the Hurst exponent except it works with the derivative of the series, instead of the original series.
The random_walk function, which is supposed to use Fractional Brownian Motion, seems to be in agreement with their compute_Hc function. If you remove the differencing step, then there ends up being disagreement. But then is the random_walk function correctly implemented? Because if it is correctly implemented, then the Wikipedia article needs to be corrected.
When I look at the code for the
compute_Hcfunction, there is an initial finite differencing step. Everything else after that agrees with Wikipedia's description of the Hurst exponent except it works with the derivative of the series, instead of the original series.The
random_walkfunction, which is supposed to use Fractional Brownian Motion, seems to be in agreement with theircompute_Hcfunction. If you remove the differencing step, then there ends up being disagreement. But then is therandom_walkfunction correctly implemented? Because if it is correctly implemented, then the Wikipedia article needs to be corrected.