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 that connects the Hurst exponent to the scaling of pairwise distances in long-memory stochastic proc…