Dynamic scaling approach to study time series fluctuations

Details Dynamic scaling approach to study time series fluctuations Dynamic scaling approach to study time series fluctuations

2008-08-24

arxiv.org/abs/0808.3269v1

PHYSICAL REVIEW E 76, 056120 (2007)

Physics

Data Analysis, Statistics and Probability

25 pages, 7 figures, 1 table

Scientific paper

10.1103/PhysRevE.76.056120

We propose a new approach for properly analyzing stochastic time series by mapping the dynamics of time series fluctuations onto a suitable nonequilibrium surface-growth problem. In this framework, the fluctuation sampling time interval plays the role of time variable, whereas the physical time is treated as the analog of spatial variable. In this way we found that the fluctuations of many real-world time series satisfy the analog of the Family-Viscek dynamic scaling ansatz. This finding permits to use the powerful tools of kinetic roughening theory to classify, model, and forecast the fluctuations of real-world time series.

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