R/S Analysis Strange Attractors

Abstract

A method to estimate the persistent behavior from a chaotic time series is proposed. Persistency means that here each value depends to some extent on the previous values and not only on the recent ones. The data were analyzed by means of Hurst's rescaled range method, i.e., R/S analysis (which was introduced by Mandelbrot and Wallis). The relation of the Hurst exponent to the self-affine and self-simialr fractal dimension is discussed.