The Hurst phenomenon and fractional Gaussian noise made easy

The Hurst phenomenon, which characterizes hydrological and other geophysical time series, is formulated and studied in an easy manner in terms of the variance and autocorrelation of a stochastic process on multiple temporal scales. In addition, a simple explanation of the Hurst phenomenon based on the fluctuation of a hydrological process upon different temporal scales is presented. The stochastic process that was devised to represent the Hurst phenomenon, i.e. the fractional Gaussian noise, is also studied on the same grounds. Based on its studied properties, three simple and fast methods to generate fractional Gaussian noise, or good approximations of it, are proposed.