Computing the multifractal spectrum from time series: An algorithmic approach

Details Computing the multifractal spectrum from time series: An algorithmic approach Computing the multifractal spectrum from time series: An algorithmic approach

2009-10-16

arxiv.org/abs/0910.3105v1

Nonlinear Sciences

Chaotic Dynamics

10 pages, 16 figures, submitted to CHAOS

Scientific paper

We show that the existing methods for computing the f(\alpha) spectrum from a time series can be improved by using a new algorithmic scheme. The scheme relies on the basic idea that the smooth convex profile of a typical f(\alpha) spectrum can be fitted with an analytic function involving a set of four independent parameters. While the standard existing schemes [16, 18] generally compute only an incomplete f(\alpha) spectrum (usually the top portion), we show that this can be overcome by an algorithmic approach which is automated to compute the Dq and f(\alpha) spectrum from a time series for any embedding dimension. The scheme is first tested with the logistic attractor with known f(\alpha) curve and subsequently applied to higher dimensional cases. We also show that the scheme can be effectively adapted for analysing practcal time series involving noise, with examples from two widely different real world systems. Moreover, some preliminary results indicating that the set of four independant parameters may be used as diagnostic measures is also included.

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