The rescaled variance statistic and the determination of the Hurst exponent

摘要: Abstract A major issue in statistical physics literature is the study of long range dependence phenomenon usually presented natural, social and financial processes. In particular, a big part this relies on determination parameter known as Hurst exponent. Although many methods have been proposed to deal with task, none them are suitable for any time series sometimes when applied same present conflicting results. context, paper presents new method based rescaled variance statistic which can be used efficiently end.