The Multi-Dependent Hurst Exponent in Traffic Time Series |
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| Journal | Applied Mechanics and Materials (Volumes 20 - 23) |
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| Volume | Information Technology for Manufacturing Systems |
| Edited by | Qi Luo |
| Pages | 346-351 |
| DOI | 10.4028/www.scientific.net/AMM.20-23.346 |
| Citation | Ke Qiang Dong et al., 2010, Applied Mechanics and Materials, 20-23, 346 |
| Online since | January, 2010 |
| Authors | Ke Qiang Dong, Peng Jian Shang, Hong Zhang |
| Keywords | Detrended Fluctuation Analysis, Fourier Transform Method, Multi-Dependent Hurst Exponent, Traffic Time Serie |
| Abstract | We propose a new method called the multi-dependent Hurst exponent to investigate the correlation properties of the nonstationary time series. The method is validated with the artificial series including both short-range correlated data and long-range correlated data. The results indicate that the multi-dependent Hurst exponents fluctuate around the a-priori known correlation exponent H. Application to traffic time series is also presented, and comparison is made between the artificial time series and traffic time series. |
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