Multifractal detrended fluctuation analysis of nonstationary time series
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Publication:129337
DOI10.1016/S0378-4371(02)01383-3zbMATH Open1001.62029arXivphysics/0202070OpenAlexW2071602085WikidataQ59446807 ScholiaQ59446807MaRDI QIDQ129337FDOQ129337
Authors: Jan W. Kantelhardt, Stephan A. Zschiegner, Eva Koscielny-Bunde, Shlomo Havlin, Armin Bunde, H.eugene Eugene Stanley, J. W. Kantelhardt, Stephan A. Zschiegner, Eva Koscielny-Bunde, Armin Bunde, H. Eugene Stanley, Shlomo Havlin 
Publication date: December 2002
Published in: Physica A: Statistical Mechanics and its Applications, Physica A (Search for Journal in Brave)
Abstract: 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.
Full work available at URL: https://arxiv.org/abs/physics/0202070
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