Публікація:
Hurst Exponent as a Part of Wavelet Decomposition Coefficients to Measure Long-term Memory Time Series Based on Multiresolution Analysis

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Дата

2016

Назва журналу

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Видавництво

SciEP

Дослідницькі проекти

Організаційні підрозділи

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Анотація

Processing and analysis of data sequences using wavelet-decomposition and subsequent analysis of the all relevant coefficients of such decomposition is one of strong methods to study various processes and phenomena. The key point of data sequence analysis lies in the concept of Hurst exponent. This is due to the fact that Hurst exponent gives an indication of the complexity and dynamics of the correlation structure of any given time series taking into consideration the importance of Hurst exponent estimation for such analysis. There are various methods and approaches to find the Hurst exponent estimation with varying degrees of accuracy and complexity. Therefore, in this paper we have made an attempt to prove the possibility of considering an estimation of Hurst exponent based on the properties of coefficients of wavelet decomposition of a given time series. The obtained results which mainly based on the properties of detailing coefficients of wavelet decomposition show that estimation is easy to calculate and comparable with classic estimation of Hurst exponent. Also ratios has been obtained, that allow to analyze the self-similarity of a given time series.

Опис

Ключові слова

wavelet decomposition, Hurst exponent

Бібліографічний опис

Lyashenko V., Matarneh R., Baranova V., Deineko Z. Hurst Exponent as a Part of Wavelet Decomposition Coefficients to Measure Long-term Memory Time Series Based on Multiresolution Analysis // American Journal of Systems and Software. – 2016. – Vol. 4(2). – P. 51-56.

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