The Hurst phenomenon and fractional Gaussian noise made easy

  title={The Hurst phenomenon and fractional Gaussian noise made easy},
  author={Demetris Koutsoyiannis},
  journal={Hydrological Sciences Journal},
  pages={573 - 595}
Abstract The Hurst phenomenon, which characterizes hydrological and other geophysical time series, is formulated and studied in an easy manner in terms of the variance and autocorrelation of a stochastic process on multiple temporal scales. In addition, a simple explanation of the Hurst phenomenon based on the fluctuation of a hydrological process upon different temporal scales is presented. The stochastic process that was devised to represent the Hurst phenomenon, i.e. the fractional Gaussian… 

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