Application of a Time-Scale Local Hurst Exponent analysis to time series
We present a method for estimating a time-scale local Hurst exponent on time series. The method has proven to be sensitive to sudden behavior changes on time series. Lower scales evaluate short-range correlations. Larger scales evaluate long-range correlations. The analysis evaluates pattern changes regardless the amplitude and scale.
time-scale local hurst exponent multi-scale rescaled-range analysis fractional brownian motion series seismic traces