How can we estimate length of interval for hurst exponent calculation ?

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Joseph Dubrovkin

See: http://www.bearcave.com/misl/misl_tech/wavelets/hurst/

Jorge Eliecer Hernandez Hernandez

Look at Wavelet Packet Computation of the Hurst Exponent by C.L. Jones, C.T. Lonergan and D.E. Mainwaring (originally published in the Journal of Physics A: Math. Gen., 29 (1996) 2509-2527)