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A dynamical systems explanation of the Hurst effect and atmospheric low-frequency variability
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Franzke, Christian, Osprey, Scott M., Davini, Paolo and Watkins, Nicholas W. (2015) A dynamical systems explanation of the Hurst effect and atmospheric low-frequency variability. Scientific Reports, Volume 5 . Article number 9068. doi:10.1038/srep09068 ISSN 2045-2322.
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Official URL: http://dx.doi.org/10.1038/srep09068
Abstract
The Hurst effect plays an important role in many areas such as physics, climate and finance. It describes the anomalous growth of range and constrains the behavior and predictability of these systems. The Hurst effect is frequently taken to be synonymous with Long-Range Dependence (LRD) and is typically assumed to be produced by a stationary stochastic process which has infinite memory. However, infinite memory appears to be at odds with the Markovian nature of most physical laws while the stationarity assumption lacks robustness. Here we use Lorenz's paradigmatic chaotic model to show that regime behavior can also cause the Hurst effect. By giving an alternative, parsimonious, explanation using nonstationary Markovian dynamics, our results question the common belief that the Hurst effect necessarily implies a stationary infinite memory process. We also demonstrate that our results can explain atmospheric variability without the infinite memory previously thought necessary and are consistent with climate model simulations.
Item Type: | Journal Article | ||||||||
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Subjects: | Q Science > QC Physics | ||||||||
Divisions: | Faculty of Science, Engineering and Medicine > Science > Physics | ||||||||
Library of Congress Subject Headings (LCSH): | Atmospheric physics | ||||||||
Journal or Publication Title: | Scientific Reports | ||||||||
Publisher: | Nature Publishing Group | ||||||||
ISSN: | 2045-2322 | ||||||||
Official Date: | 13 March 2015 | ||||||||
Dates: |
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Volume: | Volume 5 | ||||||||
Number of Pages: | 6 | ||||||||
Article Number: | Article number 9068 | ||||||||
DOI: | 10.1038/srep09068 | ||||||||
Status: | Peer Reviewed | ||||||||
Publication Status: | Published | ||||||||
Access rights to Published version: | Open Access (Creative Commons) | ||||||||
Date of first compliant deposit: | 29 December 2015 | ||||||||
Date of first compliant Open Access: | 29 December 2015 | ||||||||
Funder: | Deutsche Forschungsgemeinschaft (DFG), National Centre for Atmospheric Science (NCAS), Norges forskningsråd [Norwegian Research Council] |
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