|
| | | | |
| | | |
| Stat |
Members: 3645
Articles: 2'504'928
Articles rated: 2609
26 April 2024 |
|
| | | | |
|
Article overview
| |
|
|
Wavelet versus Detrended Fluctuation Analysis of multifractal structures | | Pawel Oswiecimka
; Jaroslaw Kwapien
; S. Drozdz
; | | Date: |
23 Apr 2005 | | Subject: | Other; Data Analysis, Statistics and Probability | cond-mat.other physics.data-an | | Abstract: | We perform a comparative study of applicability of the Multifractal Detrended Fluctuation Analysis (MF-DFA) and the Wavelet Transform Modulus Maxima (WTMM) methods in proper detecting of mono- and multifractal character of data. We quantify the performance of both methods by using different sorts of artificial signals generated according to the three well-known exactly-soluble mathematical models: monofractal Brownian motion, bifractal Levy flights, and multifractal binomial cascade. Then we perform analogous analysis on real data coming from the American and from the German stock market and try to judge which approach is preferable in that case. Based on our results for the model signals, we argue that WTMM overestimates the random multifractal component of the data (i.e. related to the probability distribution of the signal fluctuations), which is especially strikingly evident in the case of monofractal signals, while the MF-DFA performance is correlation-dependent. For the financial market data, both methods detect rich multifractality in terms of broad f(alpha) spectra, with MF-DFA suggesting that this multifractality is poorer than in the case of WTMM. Both methods, however, give similar results regarding the relative contribution of the two sources to the observed multifractality. We recommend MF-DFA as a more reliable tool of the multifractal analysis in many situations. | | Source: | arXiv, cond-mat/0504608 | | Services: | Forum | Review | PDF | Favorites | |
|
|
No review found.
Did you like this article?
Note: answers to reviews or questions about the article must be posted in the forum section.
Authors are not allowed to review their own article. They can use the forum section.
browser Mozilla/5.0 AppleWebKit/537.36 (KHTML, like Gecko; compatible; ClaudeBot/1.0; +claudebot@anthropic.com)
|
| |
|
|
|
|
News, job offers and information for researchers and scientists:
| |
REGISTER