The Hurst phenomenon and fractional Gaussian noise made easy

By Demetris Koutsoyiannis. 2002

296 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Global and Planetary Change

View Paper: https://www.semanticscholar.org/paper/2e9d1e57199cf8783627a2b8da22e208a430da3a

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Citations in the corpus

Uncertainty, entropy, scaling and hydrological stochastics. 2. Time dependence of hydrological processes and time scaling / Incertitude, entropie, effet d'échelle et propriétés stochastiques hydrologiques. 2. Dépendance temporelle des processus hydrologiques et échelle temporelle (2005, methodology): “…process, the also mentioned SSS process, which, combined with the normality assumption, is identical to the fractional Gaussian noise (FGN; e.g. Koutsoyiannis, 2002a, 2003a), the moving average process (MA), which implies the least possible autocorrelation, and a process with the highest…”
Revisiting long-range dependence in annual precipitation (2018, methodology): “To this end, the most important source of uncertainty in the determination of LRD, 304 which is the record length, should not be overlooked [Koutsoyiannis, 2002; Koutsoyiannis and 305 Montanari, 2007].”
Time scale and intensity dependency in multiplicative cascades for temporal rainfall disaggregation (2009, methodology): “…by applying a distinct asymmetric distribution ofW for starting and ending intervals, as was done by Olsson [1998] and Güntner et al. [2001], or by other similar binary disaggregation methods in which the rainfall is conditional on rainfall preceding and following it in time [Koutsoyiannis, 2002].”
Rainfall downscaling in time: theoretical and empirical comparison between multifractal and Hurst-Kolmogorov discrete random cascades (2012, methodology): “Parameters a2, a1, b0 and b1, and the variance of the innovation term V are estimated in terms of the correlation coefficients ( ) t ρ~ , equation (24), which are independent of j and k, and of the variance of the HKp at the level k (Koutsoyiannis 2002), as given by equations (33) and (34):”
Statistical analysis of hydroclimatic time series: Uncertainty and insights (2007, methodology): “…series including wind power and indexes of North Atlantic Oscillation [Haslett andRaftery, 1989; Stephenson et al., 2000] as well as proxy series such as tree ring widths or isotope concentrations [Pelletier and Turcotte, 1997; Koutsoyiannis, 2002; Beran and Feng, 2002; Craigmile et al., 2004b].”
Generic and parsimonious stochastic modelling for hydrology and beyond (2016, methodology): “However, any persistent (positively correlated) process (under some rather general conditions) can be decomposed into a sum of Markovian process (Koutsoyiannis 2002, 2011), and therefore (20) and (21), by virtue of their linear form (subtraction of two functions), can provide approximations for any…”
A quick gap filling of missing hydrometeorological data (2014, unknown): “…[2013]), snow depth [Egli and Jonas, 2009], temperature [Bloomfield, 1992; Gil-Alana, 2005; Scafetta and West, 2005], river discharge (Nile, Africa [Koutsoyiannis, 2002]; Warta, Poland [Radziejewski and Kundzewicz, 1997]; Po, Italy [Montanari, 2012]; Tiber, Italy [Grimaldi, 2004]; Boeotikos…”
An entropic‐stochastic representation of rainfall intermittency: The origin of clustering and persistence (2006, methodology): “As demonstrated by Klemes [1974] and more recently by Koutsoyiannis [2002] , even in the case of real valued processes, long-term persistence is more consistently understood as the effect of climatic fluctuations on one timescale [Klemes, 1974] or on several timescales [Koutsoyiannis, 2002], rather”
Climate change impacts—throwing the dice? (2009, methodology): “Known as the Hurst effect, after the British hydrologist H.E. Hurst who discovered it when analysing series of the Nile River flows, the presence of very long cycles can be very well represented by statistical methods (Hurst et al., 1951; Koutsoyiannis, 2002; Montanari, 2003).”
Statistics of extremes and estimation of extreme rainfall: I. Theoretical investigation / Statistiques de valeurs extrêmes et estimation de précipitations extrêmes: I. Recherche théorique (2004, background): “It has been proposed that such fluctuations, either periodical or irregular, occurring either on a single time scale or on multiple time scales simultaneously, constitute the physical basis of the well-known Hurst phenomenon (Klemeš, 1974; Montanari et al., 1999; Koutsoyiannis, 2002).”