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Performance of a high-dimensional R/S method for Hurst exponent estimation

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  • Alvarez-Ramirez, Jose
  • Echeverria, Juan C.
  • Rodriguez, Eduardo

Abstract

An extension of the R/S method to estimate the Hurst exponent of high-dimensional fractals is proposed. The method’s performance was adequate when tested with synthetic surfaces having different preset Hurst exponent values and different array sizes. The two-dimensional R/S analysis is used to analyze three images from nature and experimental data, revealing interesting scaling behavior with physical meaning.

Suggested Citation

  • Alvarez-Ramirez, Jose & Echeverria, Juan C. & Rodriguez, Eduardo, 2008. "Performance of a high-dimensional R/S method for Hurst exponent estimation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(26), pages 6452-6462.
    • Handle: RePEc:eee:phsmap:v:387:y:2008:i:26:p:6452-6462
    DOI: 10.1016/j.physa.2008.08.014
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    References listed on IDEAS

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    1. Carbone, A. & Castelli, G. & Stanley, H.E., 2004. "Time-dependent Hurst exponent in financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 344(1), pages 267-271.
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