Phys. Rev. E 58, 2779–2787 (1998)Determination of the Hurst exponent by use of wavelet transformsReceived 15 July 1997; revised 6 February 1998; published in the issue dated September 1998 We propose a method for (global) Hurst exponent determination based on wavelets. Using this method, we analyze synthetic data with predefined Hurst exponents, fracture surfaces, and data from economy. The results are compared to those obtained with Fourier spectral analysis. When many samples are available, the wavelet and Fourier methods are comparable in accuracy. However, when one or only a few samples are available, the wavelet method outperforms the Fourier method by a large margin. © 1998 The American Physical Society URL:
http://link.aps.org/doi/10.1103/PhysRevE.58.2779
DOI:
10.1103/PhysRevE.58.2779
PACS:
05.40.+j, 02.30.-f, 68.35.Bs, 61.43.Hv
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