APS » PROLA » Phys. Rev. E » Volume 58 » Issue 3
< Previous article | Next article >

Phys. Rev. E 58, 2779 - 2787 (1998)

Determination of the Hurst exponent by use of wavelet transforms

Download: PDF (683 kB) or Buy this Article (Use Article Pack) Export: BibTeX or EndNote (RIS)

Ingve Simonsen * and Alex Hansen †
Institutt for fysikk, Norges Teknisk-Naturvitenskapelige Universitet, N-7034 Trondheim, Norway

Olav Magnar Nes ‡
IKU Petroleum Research, N-7034 Trondheim, Norway

Received 15 July 1997; revised 6 February 1998

We propose a method for (global) Hurst exponent determination based on wavelets. Using this method, we analyze synthetic data with predefined Hurst exponents, fracture surfaces, and data from economy. The results are compared to those obtained with Fourier spectral analysis. When many samples are available, the wavelet and Fourier methods are comparable in accuracy. However, when one or only a few samples are available, the wavelet method outperforms the Fourier method by a large margin.


©1998 The American Physical Society

URL: http://link.aps.org/doi/10.1103/PhysRevE.58.2779
DOI: 10.1103/PhysRevE.58.2779
PACS: 05.40.+j, 02.30.-f, 68.35.Bs, 61.43.Hv

* Electronic address: Ingve.Simonsen@phys.ntnu.no
† Electronic address: Alex.Hansen@phys.ntnu.no
‡ Electronic address: Olav-Magnar.Nes@iku.sintef.no

[ Abstract  |  Previous article  |  Next article  |  Issue 3 ]