Paper Title:
The Multi-Dependent Hurst Exponent in Traffic Time Series
  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.

  Info
Periodical
Edited by
Qi Luo
Pages
346-351
DOI
10.4028/www.scientific.net/AMM.20-23.346
Citation
K. Q. Dong, P. J. Shang, H. Zhang, "The Multi-Dependent Hurst Exponent in Traffic Time Series", Applied Mechanics and Materials, Vols. 20-23, pp. 346-351, 2010
Online since
January 2010
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