\texttt{MFDFA}: efficient multifractal detrended fluctuation analysis in Python

DOI10.1016/J.CPC.2021.108254arXiv2104.10470OpenAlexW3153448608WikidataQ114192724 ScholiaQ114192724MaRDI QIDQ6102017FDOQ6102017

J. Kurths, Leonardo Rydin Gorjão, Galib Hassan, Dirk Witthaut

Publication date: 20 June 2023

Published in: Computer Physics Communications (Search for Journal in Brave)

Abstract: Multifractal detrended fluctuation analysis (MFDFA) has become a central method to characterise the variability and uncertainty in empiric time series. Extracting the fluctuations on different temporal scales allows quantifying the strength and correlations in the underlying stochastic properties, their scaling behaviour, as well as the level of fractality. Several extensions to the fundamental method have been developed over the years, vastly enhancing the applicability of MFDFA, e.g. empirical mode decomposition for the study of long-range correlations and persistence. In this article we introduce an efficient, easy-to-use python library for MFDFA, incorporating the most common extensions and harnessing the most of multi-threaded processing for very fast calculations.

Full work available at URL: https://arxiv.org/abs/2104.10470

zbMATH Keywords

time series analysisHurst coefficientmultifractal spectrummultifractal detrended fluctuation analysissingularity strength

Mathematics Subject Classification ID

Statistics (62-XX) Economic time series analysis (91B84)

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Cited In (3)

• A novel agent model of heterogeneous risk based on temporal interaction network for stock price simulation
• CONVERGENCE INVESTIGATION OF MULTIFRACTAL ANALYSIS BASED ON Lp-NORM CONSTRAINT
• A multifractal detrended fluctuation analysis approach using generalized functions

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