Fractal and multifractal descriptors restore ergodicity broken by non-Gaussianity in time series

DOI10.1016/J.CHAOS.2022.112568MaRDI QIDQ2111296zbMATH OpenOpenAlexFDO

Authors Damian G. Kelty-Stephen, Madhur Mangalam

Publication date 13 January 2023

Published in Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2204.00572

zbMATH Keywords

stationarityheterogeneitycausalitylognormalitynonequilibriumfar-from-equilibrium

Mathematics Subject Classification ID

Ergodicity, mixing, rates of mixing (37A25) Time series analysis of dynamical systems (37M10) Fractals (28A80)

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Cites work

• scientific article; zbMATH DE number 1091847 (Why is no real title available?)
• scientific article; zbMATH DE number 3794378 (Why is no real title available?)
• Broken ergodicity and coherent structure in homogeneous turbulence
• Characterising stochastic motion in heterogeneous media driven by coloured non-Gaussian noise
• Ergodicity and bifurcations for stochastic logistic equation with non-Gaussian Lévy noise
• Ergodicity of Spike Trains: When Does Trial Averaging Make Sense?
• Fractal measures and their singularities: The characterization of strange sets
• Intermittent turbulence in self-similar cascades: divergence of high moments and dimension of the carrier
• Lognormal \(\star\)-scale invariant random measures
• Modelling financial time series using multifractal random walks
• Power-law distributions in empirical data
• Random cascades on wavelet dyadic trees
• The weather and climate. Emergent laws and multifractal cascades
• What Makes Time Special?

Cited in

(1)

• Multifractal descriptors ergodically characterize non-ergodic multiplicative cascade processes

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Uses Software

• plfit

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