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

Diogo C. Soriano, Frederique Vanheusden, Slawomir J. Nasuto

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…