Determination of the Hurst Exponent by Use of Wavelet Transforms

Preprint

6 February 1998

preprint
Published by arXiv in arXiv

https://doi.org/10.48550/arXiv.cond-mat/9707153

Abstract

We propose a new 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 with those obtained from 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

WAVELET TRANSFORMS
FRACTURE SURFACES
PREDEFINED HURST
HURST EXPONENT
FOURIER METHOD
LARGE MARGIN

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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