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

DOI10.1016/J.CHAOS.2022.112568OpenAlexW4297200240MaRDI QIDQ2111296FDOQ2111296

Madhur Mangalam, Damian G. Kelty-Stephen

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

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zbMATH Keywords

stationarityheterogeneitycausalitylognormalitynonequilibriumfar-from-equilibrium

Mathematics Subject Classification ID

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

Cites Work

• Power-Law Distributions in Empirical Data
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• Title not available (Why is that?)
• Title not available (Why is that?)
• Lognormal \(\star\)-scale invariant random measures
• Intermittent turbulence in self-similar cascades: divergence of high moments and dimension of the carrier
• Modelling financial time series using multifractal random walks
• What Makes Time Special?
• The Weather and Climate: Emergent Laws and Multifractal Cascades
• 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?

Cited In (1)

• Multifractal descriptors ergodically characterize non-ergodic multiplicative cascade processes

Uses Software

• plfit

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