On Estimation of Hurst Scaling Exponent through Discrete Wavelets

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dc.creatorManimaran, P.
dc.creatorPanigrahi, Prasanta K.
dc.creatorParikh, Jitendra C.
dc.date2006-04-01
dc.date2008-04-16
dc.date.accessioned2026-07-07T09:32:47Z
dc.date.available2026-07-07T09:32:47Z
dc.descriptionWe 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.
dc.description10 pages, and 8 figures
dc.identifierhttps://arxiv.org/abs/physics/0604004
dc.identifierhttp://arxiv.org/abs/physics/0604004
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/158903
dc.subjectData Analysis, Statistics and Probability
dc.titleOn Estimation of Hurst Scaling Exponent through Discrete Wavelets
dc.typetext

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