Comparison of Hurst Exponent Estimates in Hydrometeorological Time Series
Publication: Journal of Hydrologic Engineering
Volume 4, Issue 3
Abstract
The Hurst exponent can be estimated by different methods. Two estimation methods are considered in this study. In the first estimate, the rescaled range of a hydrometeorological series is plotted against the lag on a logarithmic scale and the slope of the line fitted by least squares. In the second method, the Hurst exponent is estimated by characterizing the time series by a fractional Gaussian noise (FGN) model, which is a long-memory model. The FGN parameter d, which is related to the Hurst exponent, is estimated by two methods. The Hurst exponent is subsequently estimated using the relationship h = d + 0.5. The Hurst estimate based on the rescaled range is robust and is recommended for use. Estimates based on methods that characterize the hydrologic time series by the FGN model are not robust. Hence, they are not recommended.
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Information & Authors
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Published In
Journal of Hydrologic Engineering
Volume 4 • Issue 3 • July 1999
Pages: 225 - 231
History
Received: May 19, 1997
Published online: Jul 1, 1999
Published in print: Jul 1999
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