Volume 88, Number 6, December 2009
|Number of page(s)||6|
|Published online||05 January 2010|
Quantitative features of multifractal subtleties in time series
Institute of Nuclear Physics, Polish Academy of Sciences - ul. Radzikowskiego 152, PL-31-342 Kraków, Poland, EU
2 Faculty of Mathematics and Natural Sciences, University of Rzeszów - PL-35-310 Rzeszów, Poland, EU
Corresponding author: firstname.lastname@example.org
Accepted: 30 November 2009
Based on the Multifractal Detrended Fluctuation Analysis (MFDFA) and on the Wavelet Transform Modulus Maxima (WTMM) methods we investigate the origin of multifractality in the time series. Series fluctuating according to a qGaussian distribution, both uncorrelated and correlated in time, are used. For the uncorrelated series at the border (q = 5/3) between the Gaussian and the Levy basins of attraction asymptotically we find a phase-like transition between monofractal and bifractal characteristics. This indicates that these may solely be the specific nonlinear temporal correlations that organize the series into a genuine multifractal hierarchy. For analyzing various features of multifractality due to such correlations, we use the model series generated from the binomial cascade as well as empirical series. Then, within the temporal ranges of well-developed power law correlations we find a fast convergence in all multifractal measures. Besides its practical significance this fact may reflect another manifestation of a conjectured q-generalized Central-Limit Theorem.
PACS: 05.45.Tp – Time series analysis / 05.40.Fb – Random walks and Levy flights / 05.45.Df – Fractals
© EPLA, 2009
Current usage metrics show cumulative count of Article Views (full-text article views including HTML views, PDF and ePub downloads, according to the available data) and Abstracts Views on Vision4Press platform.
Data correspond to usage on the plateform after 2015. The current usage metrics is available 48-96 hours after online publication and is updated daily on week days.
Initial download of the metrics may take a while.