For many basic random processes (like fractional Brownian motion) Hurst exponent "H" and fractal dimensions ( Hausdorf = Minkoswki typically) "D"
are realated by simple formula D = 2-H.
I want to clarify what are exact statemetns known about this relationships.
Consider some function y = f(t) (not a random process, but just function).
Assume that fractal dimensions of its graph equals to "D".
Is it true that Hurst exponent is somehow correctly defined and equals to H=2-D ?
There possibly can be some subtleties defining the Hurst exponent.
Let me try to give the following precise definition. Assume function f(t) is defined on the interval [0, 1]. Let us look on the values of function at points t=k/n, k=0…n.
So we obtain discrete time series f_0, …,f_n.
And use the standard way of calculating the rescaled range $(R/S)_{n}$,
and existence of the Hurst exponent means that $(R/S)_{n}$ ~ $C n^H$.
I am not quite sure this definition is the correct one, but I think it can be suitable modified.
Best Answer
Stochastic Models That Separate Fractal Dimension and Hurst Effect, Tilmann Gneiting and Martin Schlather (2001).