Quantifying long-range correlations with a multiscale ordinal pattern approach

Felipe Olivares, Luciano Zunino and Osvaldo A. Rosso

Physica A: Statistical Mechanics and its Applications, 2016, vol. 445, issue C, 283-294

Abstract: In this paper we use the ordinal patterns probabilities associated with fractional Brownian motions for estimating the Hurst exponent of artificially generated and experimentally measured data. Numerical analysis show a reliable estimation of this scaling parameter, even when data with low resolution are analysed. Robustness to observational noise is also obtained. Several experimental applications allow us to confirm the practical utility of the proposed approach. We contrast results obtained by implementing this multiscale symbolic tool with those obtained from the classical detrended fluctuation analysis.

Keywords: Ordinal patterns probabilities; Fractional Brownian motion; Hurst exponent; Multiscale analysis (search for similar items in EconPapers)
Date: 2016
References: View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:445:y:2016:i:c:p:283-294

DOI: 10.1016/j.physa.2015.11.015

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