Relationships of exponents in multifractal detrended fluctuation analysis and conventional multifractal analysis

doi:10.1088/1674-1056/20/9/090507

中国物理B ›› 2011, Vol. 20 ›› Issue (9): 90507-090507.doi: 10.1088/1674-1056/20/9/090507

Relationships of exponents in multifractal detrended fluctuation analysis and conventional multifractal analysis

周煜¹, 梁怡², 喻祖国³

(1)Department of Geography and Resource Management, The Chinese University of Hong Kong, Hong Kong, China; (2)Department of Geography and Resource Management, The Chinese University of Hong Kong, Hong Kong, China;Institute of Space and Earth Information Science, The Chinese University of Hong Kong, Hong Kong, China; (3)Discipline of Mathematical Sciences, Faculty of Science and Technology, Queensland University of Technology, GPO Box 2434, Brisbane, Q 4001, Australia

收稿日期:2011-01-23 修回日期:2011-05-12 出版日期:2011-09-15 发布日期:2011-09-15

Relationships of exponents in multifractal detrended fluctuation analysis and conventional multifractal analysis

Zhou Yu(周煜)^a), Leung Yee(梁怡)^a)b)c)†, and Yu Zu-Guo(喻祖国)^d)e)

^a Department of Geography and Resource Management, The Chinese University of Hong Kong, Hong Kong, China; ^b Center for Environmental Policy and Resource Management, The Chinese University of Hong Kong, Hong Kong, China; ^c Institute of Space and Earth Information Science, The Chinese University of Hong Kong, Hong Kong, China; ^d Discipline of Mathematical Sciences, Faculty of Science and Technology, Queensland University of Technology, GPO Box 2434, Brisbane, Q 4001, Australia; ^e School of Mathematics and Computational Science, Xiangtan University, Hunan 411105, China

Received:2011-01-23 Revised:2011-05-12 Online:2011-09-15 Published:2011-09-15

摘要/Abstract

摘要： Multifractal detrended fluctuation analysis (MF-DFA) is a relatively new method of multifractal analysis. It is extended from detrended fluctuation analysis (DFA), which was developed for detecting the long-range correlation and the fractal properties in stationary and non-stationary time series. Although MF-DFA has become a widely used method, some relationships among the exponents established in the original paper seem to be incorrect under the general situation. In this paper, we theoretically and experimentally demonstrate the invalidity of the expression τ(q)=qh(q)-1 stipulating the relationship between the multifractal exponent τ(q) and the generalized Hurst exponent h(q). As a replacement, a general relationship is established on the basis of the universal multifractal formalism for the stationary series as τ(q)=qh(q)-qH'-1, where H' is the nonconservation parameter in the universal multifractal formalism. The singular spectra, α and f(α), are also derived according to this new relationship.

关键词: fractals, Hurst exponent, multifractal detrended fluctuation analysis, time series analysis

Abstract: Multifractal detrended fluctuation analysis (MF-DFA) is a relatively new method of multifractal analysis. It is extended from detrended fluctuation analysis (DFA), which was developed for detecting the long-range correlation and the fractal properties in stationary and non-stationary time series. Although MF-DFA has become a widely used method, some relationships among the exponents established in the original paper seem to be incorrect under the general situation. In this paper, we theoretically and experimentally demonstrate the invalidity of the expression τ(q)=qh(q)-1 stipulating the relationship between the multifractal exponent τ(q) and the generalized Hurst exponent h(q). As a replacement, a general relationship is established on the basis of the universal multifractal formalism for the stationary series as τ(q)=qh(q)-qH'-1, where H' is the nonconservation parameter in the universal multifractal formalism. The singular spectra, α and f(α), are also derived according to this new relationship.

Key words: fractals, Hurst exponent, multifractal detrended fluctuation analysis, time series analysis

中图分类号: (Fractals)

05.45.Df

47.53.+n (Fractals in fluid dynamics) 05.45.Tp (Time series analysis)

周煜, 梁怡, 喻祖国. Relationships of exponents in multifractal detrended fluctuation analysis and conventional multifractal analysis[J]. 中国物理B, 2011, 20(9): 90507-090507.

Zhou Yu(周煜), Leung Yee(梁怡), and Yu Zu-Guo(喻祖国) . Relationships of exponents in multifractal detrended fluctuation analysis and conventional multifractal analysis[J]. Chin. Phys. B, 2011, 20(9): 90507-090507.

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Relationships of exponents in multifractal detrended fluctuation analysis and conventional multifractal analysis

Relationships of exponents in multifractal detrended fluctuation analysis and conventional multifractal analysis

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