Scaling Properties of Long-Range Correlated Noisy Signals

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dc.creatorCarbone, Anna
dc.creatorCastelli, Giuliano
dc.date2003-03-21
dc.date.accessioned2026-07-07T02:50:20Z
dc.date.available2026-07-07T02:50:20Z
dc.descriptionThe Hurst coefficient $H$ of a stochastic fractal signal is estimated using the function $σ_{MA}^2=\frac{1}{N_{max}-n}\sum_{i=n}^{N_{max}} [y(i)-\widetilde{y}_n(i)]^2$, where $\widetilde{y}_n(i)$ is defined as $1/n \sum_{k=0}^{n-1} y(i-k)$, $n$ is the dimension of moving average box and $N_{max}$ is the dimension of the stochastic series. The ability to capture scaling properties by $σ_{MA}^2$ can be understood by observing that the function $C_n(i)= y(i)-\widetilde{y}_n(i)$ generates a sequence of random clusters having power-law probability distribution of the amplitude and of the lifetime, with exponents equal to the fractal dimension $D$ of the stochastic series.
dc.description9 pages, 4 figures, submitted to Physical Review E
dc.identifierhttps://arxiv.org/abs/cond-mat/0303465
dc.identifierhttp://arxiv.org/abs/cond-mat/0303465
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/21073
dc.subjectStatistical Mechanics
dc.titleScaling Properties of Long-Range Correlated Noisy Signals
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