Pairwise Distance-Diffusion Analysis (PDDA): A Geometric Framework for Estimating Hurst Exponents in Multivariate Long-Memory Processes

Abstract

We introduce Pairwise Distance-Diffusion Analysis (PDDA), a geometric framework for estimating the Hurst exponent from distance plots of long-memory stochastic processes. A single construction yields two complementary routes: R/S-PDDA, a geometric reformulation of the classical rescaled-range definition, and MSD-PDDA, based on mean-squared-displacement scaling, classically used in anomalous diffusion. We extend PDDA to multivariate isotropic and anisotropic processes and derive an explicit link between temporal persistence, range dimension, and recurrence statistics, providing a unified distance-based foundation for Hurst analysis.

Supplemental PDF available via ancillary links