Chapman, Sandra C., Hnat, B., Rowlands, G. (George) and Watkins, Nicholas W.. (2005) Scaling collapse and structure functions: identifying self-affinity in finite length time series. Nonlinear Processes in Geophysics, Vol.12 . pp. 767-774. ISSN 1023-5809

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Abstract

Empirical determination of the scaling properties and exponents of time series presents a formidable challenge in testing, and developing, a theoretical understanding of turbulence and other out-of-equilibrium phenomena. We discuss the special case of self affine time series in the context of a stochastic process. We highlight two complementary approaches to the differenced variable of the data: i) attempting a scaling collapse of the Probability Density Functions which should then be well described by the solution of the corresponding Fokker-Planck equation and ii) using structure functions to determine the scaling properties of the higher order moments. We consider a method of conditioning that recovers the underlying self affine scaling in a finite length time series, and illustrate it using a Lévy flight.

Item Type:	Journal Article
Subjects:	Q Science > QC Physics
Divisions:	Faculty of Science > Physics
Library of Congress Subject Headings (LCSH):	Geophysics, Time-series analysis, Turbulence, Statistical physics
Journal or Publication Title:	Nonlinear Processes in Geophysics
Publisher:	Copernicus GmbH
ISSN:	1023-5809
Date:	3 August 2005
Volume:	Vol.12
Page Range:	pp. 767-774
Status:	Peer Reviewed
Access rights to Published version:	Open Access
Funder:	Science and Technology Facilities Council (Great Britain) (STFC)
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URI:	http://wrap.warwick.ac.uk/id/eprint/589

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