The Multi-Dependent Hurst Exponent in Traffic Time Series
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.
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