The Hurst effect under trends

Necessary and sufficient conditions for the so-called Hurst effect are given in the case of a weakly dependent stationary sequence of random variables perturbed by a trend. As a consequence of this general result it is shown that the Hurst effect is present in the case of weakly dependent random variables with a small monotonic trend of the form f ( n ) = c ( m + n ) ß , where m is an arbitrary non-negative parameter and c is not 0. For – ½ ß 0 the Hurst exponent is shown to be precisely given by 1 + ß. For ß ≦ – ½ and for ß = 0 the Hurst exponent is 0.5, while for ß 0 it is 1. This simple mathematical model, motivated by empirical evidence in various geophysical records, demonstrates the presence of the Hurst effect in a direction not explored before.