Evaluation of dimension of fractal time series with the least square method

Properties of fractional Brownian motions （fBms） have been investigated by researchers in different fields, e.g. statistics, hydrology, biology, finance, and public transportation, which has helped us better understand many complex time series observed in nature [1-4]. The Hurst exponent H （0 〈 H 〈...

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Bibliographic Details
Published in:Science China. Physics, mechanics & astronomy mechanics & astronomy, 2017-04, Vol.60 (4), p.62-64, Article 040521
Main Authors: Qiao, BingQiang, Liu, SiMing, Zeng, HouDun, Li, Xiang, Dai, BenZhong
Format: Article
Language:English
Subjects:
Astronomy
Classical and Continuum Physics
Letter to the Editor
Observations and Techniques
Physics
Physics and Astronomy
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Summary:Properties of fractional Brownian motions （fBms） have been investigated by researchers in different fields, e.g. statistics, hydrology, biology, finance, and public transportation, which has helped us better understand many complex time series observed in nature [1-4]. The Hurst exponent H （0 〈 H 〈 1） is the most important parameter characterizing any given time series F（t）, where t represents the time steps, and the fractal dimension D is determined via the relation D = 2 - H.
ISSN:1674-7348
1869-1927
DOI:10.1007/s11433-016-9002-8