On the multifractal effects generated by monofractal signals

Dariusz Grech and Grzegorz Pamuła

Physica A: Statistical Mechanics and its Applications, 2013, vol. 392, issue 23, 5845-5864

Abstract: We study quantitatively the level of false multifractal signal one may encounter while analyzing multifractal phenomena in time series within multifractal detrended fluctuation analysis (MF-DFA). The investigated effect appears as a result of finite length of used data series and is additionally amplified by the long-term memory the data eventually may contain. We provide the detailed quantitative description of such apparent multifractal background signal as a threshold in spread of generalized Hurst exponent values Δh or a threshold in the width of multifractal spectrum Δα below which multifractal properties of the system are only apparent, i.e. do not exist, despite Δα≠0 or Δh≠0. We find this effect quite important for shorter or persistent series and we argue it is linear with respect to autocorrelation exponent γ. Its strength decays according to power law with respect to the length of time series. The influence of basic linear and nonlinear transformations applied to initial data in finite time series with various levels of long memory is also investigated. This provides additional set of semi-analytical results. The obtained formulas are significant in any interdisciplinary application of multifractality, including physics, financial data analysis or physiology, because they allow to separate the ‘true’ multifractal phenomena from the apparent (artificial) multifractal effects. They should be a helpful tool of the first choice to decide whether we do in particular case with the signal with real multiscaling properties or not.

Keywords: Multifractality; Apparent multifractality; Multifractal detrended analysis; Time series analysis; Complex systems (search for similar items in EconPapers)
Date: 2013
References: View complete reference list from CitEc
Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:392:y:2013:i:23:p:5845-5864

DOI: 10.1016/j.physa.2013.07.045

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