Relation between Magnitude Series Correlations and Multifractal Spectrum Width

Details Relation between Magnitude Series Correlations and Multifractal Spectrum Width Relation between Magnitude Series Correlations and Multifractal Spectrum Width

2001-11-21

arxiv.org/abs/cond-mat/0111396v2

Physics

Condensed Matter

4 revtex pages, 3 figures

Scientific paper

We study the correlation properties of long-range correlated time series,
$x_i$, with tunable correlation exponent and built-in multifractal properties.
For the cases we investigate we find that the correlation exponent of the
magnitude series, $|x_{i+1}-x_i|$, is a monotonically increasing function of
the multifractal spectrum width of the original series.

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