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Stochastic Models That Separate Fractal Dimension and the Hurst Effect

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ISSN (print): 0036-1445
ISSN (online): 1095-7200
CODEN: siread

Fractal behavior and long-range dependence have been observed in an astonishing number of physical, biological, geological, and socioeconomic systems. Time series, profiles, and surfaces have been characterized by their fractal dimension, a measure of roughness, and by the Hurst coefficient, a measure of long-memory dependence. Both phenomena have been modeled and explained by self-affine random functions, such as fractional Gaussian noise and fractional Brownian motion. The assumption of statistical self-affinity implies a linear relationship between fractal dimension and Hurst coefficient and thereby links the two phenomena. This article introduces stochastic models that allow for any combination of fractal dimension and Hurst coefficient. Associated software for the synthesis of images with arbitrary, prespecified fractal properties and power-law correlations is available. The new models suggest a test for self-affinity that assesses coupling and decoupling of local and global behavior.

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