Showing the Effect

• Various representations can be used to show the Hurst effect:

  • plot log R/S against log n
    • gradient is H
  • plot log variance against log n
    • gradient is ?, such that H = 1 - ?/2
  • plot log-log periodogram
    • low frequency gradient ?, such that H = (1 + ?)/2

• The plots of variance for different levels of aggregation are used here.

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