Papers by Keyword: Multi-Dependent Hurst Exponent

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.