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The Hurst exponent and long-time correlation
Physics of Plasmas, 2000The rescaled range statistics (R/S) method is applied to the ion saturation current fluctuations measured by the Langmuir probe at the edge of Tore Supra [Equipe Tore Supra, in Proceedings of the 13th International Conference on Plasma Physics and Controlled Nuclear Fusion, Washington, 1990 (International Atomic Energy Agency, Vienna, 1991), Vol. 1, p.
Guiding Wang, G. Antar, P. Devynck
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Hurst exponent estimation from short time series
Signal, Image and Video Processing, 2018Fractal investigation of time series is very complex for several reasons. Due to the existence of fully continuous model, on which the majority of conventional methods are based, the quality of Hurst exponent estimate is often influenced by the number of input data and its sampling rate.
Martin Dlask, Jaromir Kukal
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Hurst exponent analysis of financial time series
Journal of Shanghai University (English Edition), 2001zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Sang, Hongwei, Ma, Tian, Wang, Shuozhong
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Hurst exponent analysis in Turkish stock market
International Journal of Sustainable Economy, 2009This study is about the application of Hurst exponent in an emerging financial market, the Istanbul stock exchange (ISE). The aim of this study was to find out whether ISE daily return series has long-term dependency and multifractality by using Hurst exponent analysis.
Tüzüntürk, Selim +3 more
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The sampling properties of Hurst exponent estimates
Physica A: Statistical Mechanics and its Applications, 2007Abstract The classical rescaled adjusted range ( R / S ) statistic is a popular and robust tool for identifying fractal structures and long-term dependence in time-series data. Subsequent to Mandelbrot and Wallis [Water Resour. Res. 4 (1968) 909] who proposed the statistic be measured over several subseries contained within the whole series length ...
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Measurement of Hurst Exponents for Semiconductor Laser Phase Dynamics
Physical Review Letters, 2005The phase dynamics of a semiconductor laser with optical feedback is studied by construction of the Hilbert phase from its experimentally measured intensity time series. The Hurst exponent is evaluated for the phase fluctuations and grows from 0.5 to approximately 0.7 (indicating fractional Brownian motion) as the feedback strength is increased.
Wing-Shun, Lam +3 more
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Hurst exponent and intrapartum fetal heart rate: Impact of decelerations
Proceedings of the 26th IEEE International Symposium on Computer-Based Medical Systems, 2013Intrapartum fetal heart rate monitoring constitutes an important stake aiming at early acidosis detection. Measuring heart rate variability is often considered a powerful tool to assess the intrapartum health status of fetus and has been envisaged using various techniques.
Abry, Patrice +5 more
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Bulletin of Engineering Geology and the Environment, 2021
Zhen Li, Rongchao Xu
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Zhen Li, Rongchao Xu
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Fractional Brownian motion with random Hurst exponent
2022Fractional Brownian motion, a Gaussian non-Markovian self-similar process with stationary long-correlated increments, has been identified to give rise to the anomalous diffusion behavior in a great variety of physical systems. The correlation and diffusion properties of this random motion are fully characterized by its index of self-similarity or the ...
Balcerek, Michal +4 more
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