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Hurst Exponent |
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Hurst Exponent(H) A measure of the bias in fractional Brownian motion. H=0.50 for Brownian motion. 0.50<H<1.00 for persistent, or trend-reinforcing series. 0<H<0.50 for an anti-persistent, or mean-reverting system. The inverse of the Hurst exponent is equal to alpha, the characteristic exponent for Stable Paretian distributions. The fractal dimension of a time series, D, is equivalent to 2-H. How to thank TFD for its existence? Tell a friend about us, add a link to this page, add the site to iGoogle, or visit webmaster's page for free fun content. |
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The processes, called fractional Brownian motions (fBm), enable us to do that on the basis of the fitted Hurst exponent H (0 < H < 1) over the time interval of interest [8]. 2]] D Fractional exponent [/] H Hurst exponent [/] H(z) Probability density function [counts/[micro]m] N Total number of profiles P([lambda]) Power spectral density function [[[micro]m. 1965) showed that time series of river discharges, lake levels, but also thickness of tree rings and varves give Hurst exponents of around H [approximately equal to] 0. |
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