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The diffusion entropy analysis measures the scaling of the probability density function (pdf) of the diffusion process generated by time series imagined as a physical source of fluctuations. The pdf scaling exponent, δ, departs in the non-Gaussian case from the scaling exponent H V evaluated by variance based methods. When δ=1/(3-2H V ) Levy statistics characterizes the time series...
The numerical treatment of anomalous diffusion shows that in some cases Hurst's analysis and the second moment technique express the long-range properties by means of distinctly different rescaling coefficients. With theoretical arguments we show this effect to be determined by the finite speed of the propagation front.
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