Are Hurst exponents estimated from short or irregular time series meaningful?

Sergei Katsev, Ivan L'Heureux

Research output: Contribution to journalArticlepeer-review

49 Scopus citations

Abstract

We show that several time series analysis methods that are often used for detecting self-affine fractal scaling and determining Hurst exponents in data sets may lead to spurious results when applied to short discretized data series. We show that irregularities in the series, such as jumps or spikes (as are often found in geophysical data) may lead to spurious scaling and consequently to an incorrect determination of the Hurst exponent. We also illustrate the statistical error in measuring Hurst exponent in series where self-affine fractal scaling does exist. Users should be aware of these caveats when interpreting the results of short time series analysis.

Original languageEnglish (US)
Pages (from-to)1085-1089
Number of pages5
JournalComputers and Geosciences
Volume29
Issue number9
DOIs
StatePublished - Nov 2003
Externally publishedYes

Bibliographical note

Funding Information:
The authors wish to thank the Natural Science and Engineering Research Council of Canada and the Ministry of Training, Colleges and Universities of Ontario for financial support.

Keywords

  • Discontinuities
  • Jumps
  • Power spectrum
  • Self-affine fractal scaling
  • Spikes

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