The Multi-Dependent Hurst Exponent in Traffic Time Series


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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.



Edited by:

Qi Luo




K. Q. Dong et al., "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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