Self-affine timeseries analysis (2003)
Guest lecture for PHYS 510: Stochastic Processes in Physics, UBC
- Blok (2003)
- Blok, H. (2003). Self-affine timeseries analysis. Retrieved from https://www.cs.ubc.ca/~rikblok/research/presented/blok03/index.html
Abstract
A brief introduction to Lévy flight and fractional Brownian motion from the experimentalist’s perspective. Simple tools to analyze these timeseries, the Zipf plot and dispersional analysis, are presented. As a demonstration, these tools are applied to financial and meteorological data to determine the Lévy and Hurst exponents.