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Register a new userMultifractal detrended fluctuation analysis of nonstationary time series
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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.
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The performance of the multifractal detrended analysis on short time series is evaluated for synthetic samples of several mono- and multifractal models. The reconstruction of the generalized Hurst exponents is used to determine the range of applicability of the method and the precision of its results as a function of the decreasing length of the series. As an application the series of the daily exchange rate between the U.S. dollar and the euro is studied.
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We describe an algorithm for simulating ultrasound propagation in random one-dimensional media, mimicking different microstructures by choosing physical properties such as domain sizes and mass densities from probability distributions. By combining a detrended fluctuation analysis (DFA) of the simulated ultrasound signals with tools from the pattern-recognition literature, we build a Gaussian classifier which is able to associate each ultrasound signal with its corresponding microstructure with a very high success rate. Furthermore, we also show that DFA data can be used to train a multilayer perceptron which estimates numerical values of physical properties associated with distinct microstructures.
Data series generated by complex systems exhibit fluctuations on many time scales and/or broad distributions of the values. In both equilibrium and non-equilibrium situations, the natural fluctuations are often found to follow a scaling relation over several orders of magnitude, allowing for a characterisation of the data and the generating complex system by fractal (or multifractal) scaling exponents. In addition, fractal and multifractal approaches can be used for modelling time series and deriving predictions regarding extreme events. This review article describes and exemplifies several methods originating from Statistical Physics and Applied Mathematics, which have been used for fractal and multifractal time series analysis.
The irreversibility of trajectories in stochastic dynamical systems is linked to the structure of their causal representation in terms of Bayesian networks. We consider stochastic maps resulting from a time discretization with interval tau of signal-response models, and we find an integral fluctuation theorem that sets the backward transfer entropy as a lower bound to the conditional entropy production. We apply this to a linear signal-response model providing analytical solutions, and to a nonlinear model of receptor-ligand systems. We show that the observational time tau has to be fine-tuned for an efficient detection of the irreversibility in time-series.
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