Autocorrelation vs Hurst exponent. differences and similarities

[luxxio]

What is the relation between autocorrelation and Hurst exponent in time series analysis? which are the differences and which are the similarities? thanx

 

[SW VandeCarr]

What is the relation between autocorrelation and Hurst exponent in time series analysis? which are the differences and which are the similarities? thanx

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