Determination of the Hurst exponent by use of wavelet transforms
نویسندگان
چکیده
منابع مشابه
Wavelet packet computation of the Hurst exponent
Wavelet packet analysis was used to measure the global scaling behaviour of homogeneous fractal signals from the slope of decay for discrete wavelet coefficients belonging to the adapted wavelet best basis. A new scaling function for the size distribution correlation between wavelet coefficient energy magnitude and position in a sorted vector listing is described in terms of a power law to esti...
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Estimating the Hurst Exponent
The Hurst Exponent is a dimensionless estimator for the self-similarity of a time series. Initially defined by Harold Edwin Hurst to develop a law for regularities of the Nile water level, it now has applications in medicine and finance. Meaningful values are in the range [0, 1]. Different methods for estimating the Hurst Exponent have been evaluated: The classical “Rescaled Range” method devel...
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ژورنال
عنوان ژورنال: Physical Review E
سال: 1998
ISSN: 1063-651X,1095-3787
DOI: 10.1103/physreve.58.2779