Effect of short-term memory on Hurst phenomenon

被引：4
|
作者：
Rao, AR [1 ]
Bhattacharya, D
机构：
[1] Purdue Univ, Sch Civ Engrg, W Lafayette, IN 47907 USA
[2] AT&T, Murray Hill, NJ 07974 USA
来源：
JOURNAL OF HYDROLOGIC ENGINEERING | 2001年 / 6卷 / 02期
关键词：
D O I：
10.1061/(ASCE)1084-0699(2001)6:2(125)
中图分类号：
TU [建筑科学];
学科分类号：
0813 ;
摘要：
The Hurst exponent of hydrologic time series is investigated after accounting for the short-term memory. Different versions of the resealed range statistic are used in this study to investigate the rescaled range characteristics of hydrologic time series. The modified resealed range accounts for short-term memory in a series. It is shown that, if the modified resealed range is used, the Hurst exponent is close to 0.5 for standardized monthly series, indicating the absence of long-term memory in these series. Estimates of the Hurst exponent for annual series do not change very much when short-term memory is considered in its estimation.
引用
收藏
页码：125 / 131
页数：7
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