Crossing of two mobile averages: A method for measuring the roughness exponent

摘要

Self-affine signals characterized by a defined Hurst (roughness) exponent H can be investigated through mobile averages. The density rho of crossing points between any two moving averages is a measure of long-range power-law correlations in the signal. The method is compared to the detrended fluctuation analysis. We rake advantage of our findings in order to propose a practically powerful and accurate technique for determining H and apply it right away to cases with persistent or antipersistent correlations. [S1063-651X(98)10411-7]. [References: 10]