On Estimation of Hurst Scaling Exponent through Discrete Wavelets

Details On Estimation of Hurst Scaling Exponent through Discrete Wavelets On Estimation of Hurst Scaling Exponent through Discrete Wavelets

2006-04-01

arxiv.org/abs/physics/0604004v2

Physics

Data Analysis, Statistics and Probability

10 pages, and 8 figures

Scientific paper

We study the scaling behavior of the fluctuations, as extracted through wavelet coefficients based on discrete wavelets. The analysis is carried out on a variety of physical data sets, as well as Gaussian white noise and binomial multi-fractal model time series and the results are compared with continuous wavelet based average wavelet coefficient method. It is found that high-pass coefficients of wavelets, belonging to the Daubechies family are quite good in estimating the true power in the fluctuations in a non-stationary time series. Hence, the fluctuation functions based on discrete wavelet coefficients find the Hurst scaling exponents accurately.

Affiliated with

Also associated with

No associations

Rating

On Estimation of Hurst Scaling Exponent through Discrete Wavelets does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with On Estimation of Hurst Scaling Exponent through Discrete Wavelets, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and On Estimation of Hurst Scaling Exponent through Discrete Wavelets will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-173297