Determination of the Hurst Exponent by Use of Wavelet Transforms

Details Determination of the Hurst Exponent by Use of Wavelet Transforms Determination of the Hurst Exponent by Use of Wavelet Transforms

1997-07-16

arxiv.org/abs/cond-mat/9707153v2

Phys. Rev. E 58, 2779 (1998)

Physics

Condensed Matter

Materials Science

10 pages RevTeX, 13 Postscript figures. Some additional material compared to previous version

Scientific paper

10.1103/PhysRevE.58.2779

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.

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