Determination of the Hurst exponent by use of wavelet transforms
Abstract
We propose a method for (global) Hurst exponent determination based on wavelets. Using this method, we analyze synthetic data with predefined Hurst exponents, fracture surfaces, and data from economy. The results are compared to those obtained with Fourier spectral analysis. When many samples are available, the wavelet and Fourier methods are comparable in accuracy. However, when one or only a few samples are available, the wavelet method outperforms the Fourier method by a large margin.
- Publication:
-
Physical Review E
- Pub Date:
- September 1998
- DOI:
- 10.1103/PhysRevE.58.2779
- arXiv:
- arXiv:cond-mat/9707153
- Bibcode:
- 1998PhRvE..58.2779S
- Keywords:
-
- 05.40.+j;
- 02.30.-f;
- 68.35.Bs;
- 61.43.Hv;
- Function theory analysis;
- Structure of clean surfaces;
- Fractals;
- macroscopic aggregates;
- Condensed Matter - Materials Science
- E-Print:
- 10 pages RevTeX, 13 Postscript figures. Some additional material compared to previous version