[en] 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.
Disciplines :
Physics
Author, co-author :
Vandewalle, Nicolas ; Université de Liège - ULiège > Département de physique > Physique statistique
Ausloos, Marcel ; Université de Liège - ULiège > Département de physique > Physique statistique appliquée et des matériaux - S.U.P.R.A.S.
Language :
English
Title :
Crossing of two mobile averages: A method for measuring the roughness exponent
Publication date :
November 1998
Journal title :
Physical Review. E, Statistical Physics, Plasmas, Fluids, and Related Interdisciplinary Topics
ISSN :
1063-651X
eISSN :
1095-3787
Publisher :
American Physical Society, College Park, United States - Maryland
