On Estimation of Hurst Scaling Exponent through Discrete Wavelets
Data Analysis, Statistics and Probability
2008-04-16 v2
Abstract
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.
Cite
@article{arxiv.physics/0604004,
title = {On Estimation of Hurst Scaling Exponent through Discrete Wavelets},
author = {P. Manimaran and Prasanta K. Panigrahi and Jitendra C. Parikh},
journal= {arXiv preprint arXiv:physics/0604004},
year = {2008}
}
Comments
10 pages, and 8 figures