NDLI: A Dynamical Systems Explanation of the Hurst Effect and Atmospheric Low-Frequency Variability

Content Provider	PubMed Central
Author	Franzke, Christian L. E. Osprey, Scott M. Davini, Paolo Watkins, Nicholas W.
Copyright Year	2015
Abstract	The Hurst effect plays an important role in many areas such as physics, climate and finance. It describes the anomalous growth of range and constrains the behavior and predictability of these systems. The Hurst effect is frequently taken to be synonymous with Long-Range Dependence (LRD) and is typically assumed to be produced by a stationary stochastic process which has infinite memory. However, infinite memory appears to be at odds with the Markovian nature of most physical laws while the stationarity assumption lacks robustness. Here we use Lorenz's paradigmatic chaotic model to show that regime behavior can also cause the Hurst effect. By giving an alternative, parsimonious, explanation using nonstationary Markovian dynamics, our results question the common belief that the Hurst effect necessarily implies a stationary infinite memory process. We also demonstrate that our results can explain atmospheric variability without the infinite memory previously thought necessary and are consistent with climate model simulations.
Related Links	http://dx.doi.org/10.1038/srep09068
Starting Page	9068
File Format	PDF
ISSN	20452322
e-ISSN	20452322
Journal	Scientific Reports
Volume Number	5
Language	English
Publisher	Nature Publishing Group
Publisher Date	2015-03-01
Access Restriction	Open
Rights Holder	Nature Publishing Group
Subject Keyword	Science and technology Research in Higher Education
Content Type	Text
Resource Type	Article
Subject	Multidisciplinary

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4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
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