Multifractal detrended fluctuation analysis of nonstationary time series

Details Multifractal detrended fluctuation analysis of nonstationary time series Multifractal detrended fluctuation analysis of nonstationary time series

2002-02-27

arxiv.org/abs/physics/0202070v1

Physica A 316, 87 (2002)

Physics

Data Analysis, Statistics and Probability

14 pages (RevTex) with 10 figures (eps)

Scientific paper

10.1016/S0378-4371(02)01383-3

We develop a method for the multifractal characterization of nonstationary time series, which is based on a generalization of the detrended fluctuation analysis (DFA). We relate our multifractal DFA method to the standard partition function-based multifractal formalism, and prove that both approaches are equivalent for stationary signals with compact support. By analyzing several examples we show that the new method can reliably determine the multifractal scaling behavior of time series. By comparing the multifractal DFA results for original series to those for shuffled series we can distinguish multifractality due to long-range correlations from multifractality due to a broad probability density function. We also compare our results with the wavelet transform modulus maxima (WTMM) method, and show that the results are equivalent.

Affiliated with

Also associated with

No associations

Rating

Multifractal detrended fluctuation analysis of nonstationary time series does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Multifractal detrended fluctuation analysis of nonstationary time series, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Multifractal detrended fluctuation analysis of nonstationary time series will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-328879