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    Effect of Short-Term Memory on Hurst Phenomenon

    Source: Journal of Hydrologic Engineering:;2001:;Volume ( 006 ):;issue: 002
    Author:
    A. Ramachandra Rao
    ,
    D. Bhattacharya
    DOI: 10.1061/(ASCE)1084-0699(2001)6:2(125)
    Publisher: American Society of Civil Engineers
    Abstract: The Hurst exponent of hydrologic time series is investigated after accounting for the short-term memory. Different versions of the rescaled range statistic are used in this study to investigate the rescaled range characteristics of hydrologic time series. The modified rescaled range accounts for short-term memory in a series. It is shown that, if the modified rescaled 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.
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      Effect of Short-Term Memory on Hurst Phenomenon

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    contributor authorA. Ramachandra Rao
    contributor authorD. Bhattacharya
    date accessioned2017-05-08T21:23:26Z
    date available2017-05-08T21:23:26Z
    date copyrightApril 2001
    date issued2001
    identifier other%28asce%291084-0699%282001%296%3A2%28125%29.pdf
    identifier urihttp://yetl.yabesh.ir/yetl/handle/yetl/49572
    description abstractThe Hurst exponent of hydrologic time series is investigated after accounting for the short-term memory. Different versions of the rescaled range statistic are used in this study to investigate the rescaled range characteristics of hydrologic time series. The modified rescaled range accounts for short-term memory in a series. It is shown that, if the modified rescaled 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.
    publisherAmerican Society of Civil Engineers
    titleEffect of Short-Term Memory on Hurst Phenomenon
    typeJournal Paper
    journal volume6
    journal issue2
    journal titleJournal of Hydrologic Engineering
    identifier doi10.1061/(ASCE)1084-0699(2001)6:2(125)
    treeJournal of Hydrologic Engineering:;2001:;Volume ( 006 ):;issue: 002
    contenttypeFulltext
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