Determination of the Hurst exponent by use of wavelet transforms
- 1 September 1998
- journal article
- research article
- Published by American Physical Society (APS) in Physical Review E
- Vol. 58 (3) , 2779-2787
- https://doi.org/10.1103/physreve.58.2779
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.Keywords
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