Kiyani, K., Chapman, Sandra C. and Hnat, B. (2006) Extracting the scaling exponents of a self-affine, non-Gaussian process from a finite-length time series. PHYSICAL REVIEW E, 74 (5 Part 1). doi:10.1103/PhysRevE.74.051122 ISSN 1539-3755.

Research output not available from this repository.

Request-a-Copy directly from author or use local Library Get it For Me service.

Request Changes to record.

Abstract

We address the generic problem of extracting the scaling exponents of a stationary, self-affine process realized by a time series of finite length, where information about the process is not known a priori. Estimating the scaling exponents relies upon estimating the moments, or more typically structure functions, of the probability density of the differenced time series. If the probability density is heavy tailed, outliers strongly influence the scaling behavior of the moments. From an operational point of view, we wish to recover the scaling exponents of the underlying process by excluding a minimal population of these outliers. We test these ideas on a synthetically generated symmetric alpha-stable Levy process and show that the Levy exponent is recovered in up to the 6th order moment after only similar to 0.1-0.5 % of the data are excluded. The scaling properties of the excluded outliers can then be tested to provide additional information about the system.

Item Type:	Journal Article
Subjects:	Q Science > QC Physics
Journal or Publication Title:	PHYSICAL REVIEW E
Publisher:	AMERICAN PHYSICAL SOC
ISSN:	1539-3755
Official Date:	November 2006
Dates:	Date Event November 2006 UNSPECIFIED
Volume:	74
Number:	5 Part 1
Number of Pages:	9
DOI:	10.1103/PhysRevE.74.051122
Publication Status:	Published

Data sourced from Thomson Reuters' Web of Knowledge

Request changes or add full text files to a record

Repository staff actions (login required)

View Item