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Article Details

Copyright Statement: This is an open access article licensed under a Creative Commons Attribution 4.0 International License, which permits unrestricted use, distribution, and reproduction in any medium, even commercially as long as the original work is properly cited.

Generalized Approach to Analysis of Multifractal Properties from Short Time Series

Author 1: Lyudmyla Kirichenko
Author 2: Abed Saif Ahmed Alghawli
Author 3: Tamara Radivilova

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Digital Object Identifier (DOI) : 10.14569/IJACSA.2020.0110527

Article Published in International Journal of Advanced Computer Science and Applications(IJACSA), Volume 11 Issue 5, 2020.

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Abstract: The paper considers a generalized approach to the time series multifractal analysis. The focus of research is on the correct estimation of multifractal characteristics from short time series. Based on numerical modeling and estimating, the main disadvantages and advantages of the sample fractal characteristics obtained by three methods: the multifractal fluctuation detrended analysis, wavelet transform modulus maxima and multifractal analysis using discrete wavelet transform are studied. The generalized Hurst exponent was chosen as the basic characteristic for comparing the accuracy of the methods. A test statistic for determining the monofractal properties of a time series using the multifractal fluctuation detrended analysis is proposed. A generalized approach to estimating the multifractal characteristics of short time series is developed and practical recommendations for its implementation are proposed. A significant part of the study is devoted to practical applications of fractal analysis. The proposed approach is illustrated by the examples of multifractal analysis of various real fractal time series.

Keywords: Fractal time series; multifractal analysis; estimation of multifractal characteristics; generalized Hurst exponent; practical applications of fractal analysis

Lyudmyla Kirichenko, Abed Saif Ahmed Alghawli and Tamara Radivilova, “Generalized Approach to Analysis of Multifractal Properties from Short Time Series” International Journal of Advanced Computer Science and Applications(IJACSA), 11(5), 2020. http://dx.doi.org/10.14569/IJACSA.2020.0110527

@article{Kirichenko2020,
title = {Generalized Approach to Analysis of Multifractal Properties from Short Time Series},
journal = {International Journal of Advanced Computer Science and Applications},
doi = {10.14569/IJACSA.2020.0110527},
url = {http://dx.doi.org/10.14569/IJACSA.2020.0110527},
year = {2020},
publisher = {The Science and Information Organization},
volume = {11},
number = {5},
author = {Lyudmyla Kirichenko and Abed Saif Ahmed Alghawli and Tamara Radivilova}
}


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