Effect of filters on multivariate multifractal detrended fluctuation analysis

DOI10.1142/S0218348X2150047XMaRDI QIDQ5024780zbMATH OpenFDO

Authors Qing-Ju Fan, Dan Li, Guang Ling, Fang Wang, Shuanggui Liu

Publication date 27 January 2022

Published in Fractals (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/S0218348X2150047X

zbMATH Keywords

filtergeneralized mean distanceHurst surfacemultivariate multifractal detrended fluctuation analysis

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

Recommendations

• Effect of linear and nonlinear filters on multifractal analysis
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Cites work

• Detecting correlations and triangular arbitrage opportunities in the Forex by means of multifractal detrended cross-correlations analysis
• Detrended fluctuation analysis of multivariate time series
• Effect of linear and nonlinear filters on multifractal analysis
• scientific article; zbMATH DE number 2060078 (Why is no real title available?)
• Minimizing periodic trends by applying Laplace transform
• Minimizing the effect of periodic and quasi-periodic trends in detrended fluctuation analysis
• Multifractal detrended fluctuation analysis of nonstationary time series

Cited in

(3)

• Multi-affine visible height correlation analysis for revealing rich structures of fractal time series
• Effect of linear and nonlinear filters on multifractal analysis
• Local multifractal detrended fluctuation analysis for tea breeds identification

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