Determination of the Hurst exponent by use of wavelet transforms

被引：216

作者：

Simonsen, I ^{[1
]}

Hansen, A

Nes, OM

机构：

[1] Norges Tekn Nat Vitenskapelige Univ, Inst Fys, N-7034 Trondheim, Norway

[2] IKU Petro Res, N-7034 Trondheim, Norway

来源：

PHYSICAL REVIEW E | 1998年 / 58卷 / 03期

关键词：

D O I：

10.1103/PhysRevE.58.2779

中图分类号：

O35 [流体力学]; O53 [等离子体物理学];

学科分类号：

070204 ; 080103 ; 080704 ;

摘要：

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.

引用

页码：2779 / 2787

页数：9

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