Using Wavelet Transforms for Hurst Exponent Determination

Preprint

16 July 1997

preprint
Published by arXiv in arXiv

Abstract

We propose a new method for 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 with a large margin.

Keywords

HURST EXPONENT DETERMINATION
WAVELET TRANSFORMS
FRACTURE SURFACES
FOURIER METHOD
USING WAVELET

All Related Versions

Version 1, 1997-07-16, ArXiv
Version 2, 1998-02-06, ArXiv
Published version: Physical Review E, 58 (3), 2779.

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