Cascade-driven series with narrower multifractal spectra than their surrogates: standard deviation of multipliers changes interactions across scales (Q2012826)

Summary: Multifractal (or singularity) spectra widths \(w\) allow diagnosing cascade structure through comparing original series' widths \(w_{\mathrm{Orig}}\) to surrogate series' widths \(w_{\mathrm{Surr}}\). However, interpretations of \(0 < w_{\mathrm{Orig}} < w_{\mathrm{Surr}}\) have been ambiguous. Stochastic multipliers generate cascades with \(0 < w_{\mathrm{Orig}} < w_{\mathrm{Surr}}\) by diversifying cross-scale interactions using white-noise multipliers. Multifractal detrended fluctuation analysis (MF-DFA) and Chhabra and Jensen's method provided two estimates of \(w_{\mathrm{Orig}}\) for 200 simulated series at each value \(0.1 \leq \sigma \leq 1.1\) incrementing by 0.05. Increasing \(\sigma\) draws \(w_{\mathrm{Orig}}\) away from \(w_{\mathrm{Surr}} < w_{\mathrm{Orig}}\) and towards \(0 < w_{\mathrm{Orig}} < w_{\mathrm{Surr}}\) for both methods but more for MF-DFA. \(0 < w_{\mathrm{Orig}} < w_{\mathrm{Surr}}\) indicates cascades with cross-scale interactions more diverse than in cascades with \(w_{\mathrm{Surr}} < w_ {\mathrm{Orig}}\).