Multifractal detrended fluctuation analysis of nonstationary time series

From MaRDI portal

Publication:129337

Jump to:navigation, search

DOI10.1016/s0378-4371(02)01383-3zbMath1001.62029arXivphysics/0202070OpenAlexW2071602085WikidataQ59446807 ScholiaQ59446807MaRDI QIDQ129337

Eva Koscielny-Bunde, Jan W. Kantelhardt, Armin Bunde, H.eugene Eugene Stanley, Shlomo Havlin, Stephan A. Zschiegner, H. Eugene Stanley, Armin Bunde, Jan W. Kantelhardt, Stephan A. Zschiegner, Eva Koscielny-Bunde, Shlomo Havlin

Publication date: December 2002

Published in: Physica A: Statistical Mechanics and its Applications, Physica A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/physics/0202070

zbMATH Keywords

probability density functions long-range correlations scaling behavior

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Time series analysis of dynamical systems (37M10)

Related Items

Characterization of ionospheric total electron content data using wavelet-based multifractal formalism, Application of generalized Hurst dimension rose plot in terrain altitude analysis, A note on power-law cross-correlated processes, Singularity power spectrum distribution, Can the bivariate Hurst exponent be higher than an average of the separate Hurst exponents?, Modified cross sample entropy and surrogate data analysis method for financial time series, Multifractal detrended cross-correlation analysis of coding and non-coding DNA sequences through chaos-game representation, Multifractal detrended fluctuation analysis of Pannonian earthquake magnitude series, Non linear approach to study the dynamics of neurodegenerative diseases by multifractal detrended cross-correlation analysis--A quantitative assessment on gait disease, \(p\)-exponent and \(p\)-leaders. I: Negative pointwise regularity, \(p\)-exponent and \(p\)-leaders. II: Multifractal analysis. relations to detrended fluctuation analysis, Multifractal value at risk model, Long memory and multifractality: a joint test, Statistical analysis of digital images of periodic fibrous structures using generalized Hurst exponent distributions, Multifractal detrended cross-correlation analysis of genome sequences using chaos-game representation, Nonlinear filtering properties of detrended fluctuation analysis, Coupling detrended fluctuation analysis for multiple warehouse-out behavioral sequences, Revisiting the multifractality in stock returns and its modeling implications, The high order dispersion analysis based on first-passage-time probability in financial markets, Multifractal methodology, Quantum kicked rotor and its variants: chaos, localization and beyond, Persistence in complex systems, A risk measure of the stock market that is based on multifractality, Random deposition with spatially correlated noise (RD-SCN) model: multi-affine analysis, Fluctuation behavior analysis of stochastic exclusion financial dynamics with random jump, On the dynamical foundation of multifractality, Backcasting and forecasting time series using detrended cross-correlation analysis, Random deposition with surface relaxation model accompanied by long-range correlated noise, The cross-correlation analysis of multi property of stock markets based on MM-DFA, Nonlinear complexity behaviors of agent-based 3D Potts financial dynamics with random environments, Multiscale multifractal DCCA and complexity behaviors of return intervals for Potts price model, Transitions between superstatistical regimes: validity, breakdown and applications, Dynamical implications of sample shape for avalanches in 2-dimensional random-field Ising model with saw-tooth domain wall, Multifractal detrended cross correlation analysis of neuro-degenerative diseases -- an in depth study, Temporal correlations in the Vicsek model with vectorial noise, Multifractal-multiscale analysis of cardiovascular signals: a DFA-based characterization of blood pressure and heart-rate complexity by gender, Estimation of multifractality based on natural time analysis, Chaos based nonlinear analysis to study cardiovascular responses to changes in posture, Discrete chaotic maps obtained by symmetric integration, Multifractal spectrum distribution based on detrending moving average, Volatility aggregation intensity energy futures series on stochastic finite-range exclusion dynamics, Modified multifractal large deviation spectrum based on CID for financial market system, Kernel density approach to error estimation of MF-DFA measures on time series, A new methodology for local cross-correlation between two nonstationary time series, Modification of multifractal analysis based on multiplicative cascade image, Multifractal detrended fluctuation analysis of earthquake magnitude series of Mexican south Pacific region, Lacunarity and multifractal analysis of the large DLA mass distribution, Nonlinear dynamics of equity, currency and commodity markets in the aftermath of the global financial crisis, Higher-order phase transitions on financial markets, Daily extreme temperature multifractals in Catalonia (NE Spain), Multifractal theory with its applications in data management, Expectation values and variance based on \(\mathcal L^p\)-norms, Degree distributions of the visibility graphs mapped from fractional Brownian motions and multifractal random walks, Modeling traffic flow correlation using DFA and DCCA, Asymmetric multi-fractality in the U.S. stock indices using index-based model of A-MFDFA, Simulation analysis of multifractal detrended methods based on the ARFIMA process, Statistical properties of user activity fluctuations in virtual worlds, Gradual multifractal reconstruction of time-series: formulation of the method and an application to the coupling between stock market indices and their Hölder exponents, Multifractality of river runoff and precipitation: comparison of fluctuation analysis and wavelet methods, Nonlinear fluctuation behavior of financial time series model by statistical physics system, Nonlinear behaviors of tail dependence and cross-correlation of financial time series model, An accurate algorithm to calculate the Hurst exponent of self-similar processes, Fractal and multifractal analysis of the rise of oxygen in Earth's early atmosphere, Trading volume in financial markets: an introductory review, Measuring multiscaling in financial time-series, Stylized facts of price gaps in limit order books, Alternative measure of multifractal content and its application in finance, Complexity testing techniques for time series data: a comprehensive literature review, Multifractality in fidelity sequences of optimized Toffoli gates, Traffic modeling for communications networks: a multifractal approach based on few parameters, Investigation on series of length of coding and non-coding DNA sequences of bacteria using multifractal detrended cross-correlation analysis, Detrended fluctuation analysis of multivariate time series, Cascade-driven series with narrower multifractal spectra than their surrogates: standard deviation of multipliers changes interactions across scales, Sudden onset of log-periodicity and superdiffusion in non-Markovian random walks with amnestically induced persistence: exact results, Multi-scale correlations in different futures markets, A nonextensive approach to the dynamics of financial observables, A multifractal description of wind speed records, Forecasting volatility in bitcoin market, Statistical properties of the detrended multiple cross-correlation coefficient, Multifractal diffusion entropy analysis: optimal bin width of probability histograms, Fractal and complex network analyses of protein molecular dynamics, Forecasting VaR and ES of stock index portfolio: a vine copula method, Multiscale multifractal diffusion entropy analysis of financial time series, Multifractal analysis of hydrologic data using wavelet methods and fluctuation analysis, Chaos, randomness and multi-fractality in bitcoin market, Multifractal regime detecting method for financial time series, Multifractal time series analysis using the improved 0-1 test model, Detrended multiple cross-correlation coefficient with sliding windows approach, RespirAnalyzer, fractalRegression, Order flow in the financial markets from the perspective of the fractional Lévy stable motion, A novel study on perception-cognition scenario in music using deterministic and non-deterministic approach, Multi-scale transition matrix approach to time series, A theoretical framework for the TTA algorithm, Interplay multifractal dynamics among metal commodities and US-EPU, Multifractal characteristics on multiple pollution variables in Malaysia, Linking cosmic ray intensities to cutoff rigidity through multifractal detrented fluctuation analysis, Multi-affine visible height correlation analysis for revealing rich structures of fractal time series, Statistical physics and economic fluctuations: do outliers exist?, A relative vectorial multifractal formalism, THE NEXUS BETWEEN TWITTER-BASED UNCERTAINTY AND CRYPTOCURRENCIES: A MULTIFRACTAL ANALYSIS, A new estimator of the self-similarity exponent through the empirical likelihood ratio test, CONVERGENCE INVESTIGATION OF MULTIFRACTAL ANALYSIS BASED ON Lp-NORM CONSTRAINT, Finite-energy Lévy-type motion through heterogeneous ensemble of Brownian particles, Power-Law Cross-Correlations: Issues, Solutions and Future Challenges, A Brief Introduction to DFA-Based Multiscale Analysis, Statistical tests of distributional scaling properties for financial return series, ON THE STATISTICAL PHYSICS CONTRIBUTION TO QUANTITATIVE FINANCE, Finite-size effect and the components of multifractality in financial volatility, Corrupted bifractal features in finite uncorrelated power-law distributed data, Multifractal analysis of visibility graph-based Ito-related connectivity time series, Nonuniversality of the horizontal visibility graph in inferring series periodicity, Building multi-scale portfolios and efficient market frontiers using fractal regressions, Multifractal weighted permutation analysis based on Rényi entropy for financial time series, Characterization and classification of intracardiac atrial fibrillation signals using the time-singularity multifractal spectrum distribution, Analysis of time series using a new entropy plane based on past entropy, Cross-correlation and forecast impact of public attention on USD/CNY exchange rate: evidence from Baidu index, Local multifractal detrended fluctuation analysis for tea breeds identification, The multifractal nature of dew point, Asymmetric multifractality, comparative efficiency analysis of Green finance markets: a dynamic study by index-based model, Control of Weierstrass–Mandelbrot Function Model with Morlet Wavelets, Multifractal signal reconstruction based on singularity power spectrum, Testing stationarity of the detrended price return in stock markets, Market efficiency, liquidity, and multifractality of Bitcoin: a dynamic study, Do `complex' financial models really lead to complex dynamics? Agent-based models and multifractality, Multifractal detrended moving average analysis for texture representation, Fractal and multifractal characteristics of swift heavy ion induced self-affine nanostructured BaF2 thin film surfaces, Nonlinear multi-analysis of agent-based financial market dynamics by epidemic system, How does price (in)efficiency influence cryptocurrency portfolios performance? The role of multifractality, \texttt{MFDFA}: efficient multifractal detrended fluctuation analysis in Python, Long memory and data frequency in financial markets, Scaling behavior in measured keystroke time series from patients with Parkinson's disease, A local fitting based multifractal detrend fluctuation analysis method, Testing power-law cross-correlations: rescaled covariance test, Generalized Sν$S^\nu$ spaces, Scaling invariance embedded in very short time series: a factorial moment based diffusion entropy approach, Weighted multifractal cross-correlation analysis based on Shannon entropy, Detrended fluctuation analysis of the Ornstein-Uhlenbeck process: Stationarity versus nonstationarity, Permutation and weighted-permutation entropy analysis for the complexity of nonlinear time series, Approximate waiting times for queuing systems with variable long-term correlated arrival rates, Refined two-index entropy and multiscale analysis for complex system, Economic fluctuations and statistical physics: the puzzle of large fluctuations, Detrended fluctuation analysis of cerebrovascular responses to abrupt changes in peripheral arterial pressure in rats, Right-side-stretched multifractal spectra indicate small-worldness in networks, The influence of power law distributions on long-range trial dependency of response times, Invited article by M. Gidea: Extreme events and emergency scales, Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data, Multifractal descriptors ergodically characterize non-ergodic multiplicative cascade processes, Coupling correlation detrended analysis for multiple nonstationary series, Self-organized critical gating of ion channels: On the origin of long-term memory in dwell time series, MARGIN-TRADING ACTIVITIES AND FUTURE STOCK RETURNS: NEW EVIDENCE FROM NONLINEAR ANALYSIS, A novel integrated measure for energy market efficiency, Evolution of multifractal cross-correlations between the Argentina MERVAL Index and international commodities prices, Research on the portfolio model based on mean-MF-DCCA under multifractal feature constraint, Multifractal detrended fluctuation analysis: practical applications to financial time series, Hierarchical structure of stock price fluctuations in financial markets, Revisiting multifractality of TCP traffic using multifractal detrended fluctuation analysis, Multifractal detrended moving average analysis of global temperature records, Multifractal analysis of Barkhausen noise reveals the dynamic nature of criticality at hysteresis loop, Randomized multifractal detrended fluctuation analysis of long time series, Fluctuation dynamics in geoelectrical data: an investigation by using multifractal detrended fluctuation analysis, STATISTICAL PROPERTIES AND MULTIFRACTAL BEHAVIORS OF MARKET RETURNS BY ISING DYNAMIC SYSTEMS, ABOUT THE EFFECTIVENESS OF DIFFERENT METHODS FOR THE ESTIMATION OF THE MULTIFRACTAL SPECTRUM OF NATURAL SERIES, Phase and multifractality analyses of random price time series by finite-range interacting biased voter system, Minimizing the effect of periodic and quasi-periodic trends in detrended fluctuation analysis, Methodological framework for estimating the correlation dimension in HRV signals, Inverse statistics and multifractality of exit distances in 3D fully developed turbulence, Multifractal analysis of the long-range correlations in the cardiac dynamics of drosophila melanogaster, Fractal rigidity by enhanced sympatho-vagal antagonism in heartbeat interval dynamics elicited by central application of corticotropin-releasing factor in mice, Analyzing Crisis in Global Financial Indices, Characterizing Price Index Behavior Through Fluctuation Dynamics, A novel method for control performance assessment with fractional order signal processing and its application to semiconductor manufacturing, On the Long-Term Correlations and Multifractal Properties of Electric Arc Furnace Time Series, Diffusion and Fokker-Planck-Smoluchowski equations with generalized memory kernel, MULTIFRACTAL BEHAVIORS IN FOREIGN EXCHANGE MARKETS, Theq-dependent detrended cross-correlation analysis of stock market, Complexity and uncertainty analysis of financial stock markets based on entropy of scale exponential spectrum, Detecting correlations and triangular arbitrage opportunities in the Forex by means of multifractal detrended cross-correlations analysis, Nonlinear correlations in multifractals: Visibility graphs of magnitude and sign series, EEG PATTERN OF NORMAL AND EPILEPTIC RATS: MONOFRACTAL OR MULTIFRACTAL?, CORRELATIONS BETWEEN POLITICAL PARTY SIZE AND VOTER MEMORY: A STATISTICAL ANALYSIS OF OPINION POLLS, MULTIFRACTAL CROSS WAVELET ANALYSIS, Multifractal temporally weighted detrended cross-correlation analysis of multivariate time series, Cumulative Tsallis entropy based on power spectrum of financial time series, Capturing multifractality of pressure fluctuations in thermoacoustic systems using fractional-order derivatives, MULTIFRACTAL DETRENDED CROSS-CORRELATION ANALYSIS OF CHINESE STOCK MARKETS BASED ON TIME DELAY, NON-CONCAVE MULTIFRACTAL SPECTRA WITH WAVELET LEADERS PROJECTION OF SIGNALS WITH AND WITHOUT CHIRPS, MULTIFRACTAL CROSS-CORRELATION ANALYSIS BASED ON STATISTICAL MOMENTS, Long-range memory test by the burst and inter-burst duration distribution, Growth signals determine the topology of evolving networks, Multiscale adaptive multifractal analysis and its applications, Complex system analysis of market return percolation model on Sierpinski carpet lattice fractal, Multi-scaling in finance, MULTIFRACTAL ANALYSIS WITH DETRENDING WEIGHTED AVERAGE ALGORITHM OF HISTORICAL VOLATILITY, EFFECT OF FILTERS ON MULTIVARIATE MULTIFRACTAL DETRENDED FLUCTUATION ANALYSIS, TIME-DELAY MULTISCALE MULTIFRACTAL DETRENDED PARTIAL CROSS-CORRELATION ANALYSIS OF HIGH-FREQUENCY STOCK SERIES, MULTIFRACTAL CROSS-CORRELATION ANALYSIS BETWEEN CARBON SPOT AND FUTURES MARKETS CONSIDERING ASYMMETRIC CONDUCTION EFFECT, TESTING FOR EFFECTS OF CROSS-CORRELATIONS ON JOINT MULTIFRACTALITY

Cites Work

Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Publication:129337&oldid=14229156"