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Autocorrelation vs Hurst exponent. differences and similarities

  1. Feb 26, 2012 #1
    What is the relation between autocorrelation and Hurst exponent in time series analysis? which are the differences and which are the similarities? thanx
     
  2. jcsd
  3. Feb 27, 2012 #2
    The Hurst exponent is used to measure the strength of autocorrelation over an extended time series. It has a number of other applications as well, including evaluating self similarity in fractals. Here's a general reference. The Wiki also has a fairly readable article. If after reading these you have more specific questions, you are free to re-post.

    http://www.bearcave.com/misl/misl_tech/wavelets/hurst/

    see Long Term Memory and Power Laws
     
    Last edited: Feb 27, 2012
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