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On Estimation of Hurst Scaling Exponent through Discrete Wavelets

P. Manimaran·Prasanta K. Panigrahi·Jitendra C. Parikh
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Abstract

We study the scaling behavior of the fluctuations, as extracted through wavelet coefficients based on discrete wavelets. The analysis is carried out on a variety of physical data sets, as well as Gaussian white noise and binomial multi-fractal model time series and the results are compared with continuous wavelet based average wavelet coefficient method. It is found that high-pass coefficients of wavelets, belonging to the Daubechies family are quite good in estimating the true power in the fluctuations in a non-stationary time series. Hence, the fluctuation functions based on discrete wavelet coefficients find the Hurst scaling exponents accurately.

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P. Manimaran, Prasanta K. Panigrahi, Jitendra C. Parikh. 2008-04-16. On Estimation of Hurst Scaling Exponent through Discrete Wavelets. https://arxiv.org/abs/physics/0604004

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