Simulation analysis of multifractal detrended methods based on the ARFIMA process

DOI10.1016/j.chaos.2017.10.038zbMath1380.37140OpenAlexW2767208441MaRDI QIDQ1694558

Yingying Shi, Guangxi Cao

Publication date: 2 February 2018

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2017.10.038

zbMATH Keywords

simulationmultifractalitylong-memory levelmultifractral detrended methods

Mathematics Subject Classification ID

Time series analysis of dynamical systems (37M10)

Cites Work

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• Multifractal detrended fluctuation analysis of nonstationary time series
• Can the bivariate Hurst exponent be higher than an average of the separate Hurst exponents?
• Mixed-correlated ARFIMA processes for power-law cross-correlations
• Power-law cross-correlations estimation under heavy tails
• Fractal measures and their singularities: The characterization of strange sets

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