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The rescaled variance statistic and the determination of the Hurst exponent. (English) Zbl 1077.82013
Summary: A major issue in statistical physics literature is the study of the long range dependence phenomenon usually presented in natural, social and financial processes. In particular, a big part of this literature relies on the determination of a parameter known as the Hurst exponent. Although many methods have been proposed to deal with this task, none of them are suitable for any time series and sometimes when applied to the same time series present conflicting results. In this context, this paper presents a new method based on the rescaled variance statistic which can be used efficiently to this end.
MSC:
82C03Foundations of time-dependent statistical mechanics
82C80Numerical methods of time-dependent statistical mechanics