Multifractal detrended fluctuation analysis of analog random multiplicative processes

L.B.M. Silva, M.V.D. Vermelho, M.L. Lyra and G.M. Viswanathan

Chaos, Solitons & Fractals, 2009, vol. 41, issue 5, 2806-2811

Abstract: We investigate non-Gaussian statistical properties of stationary stochastic signals generated by an analog circuit that simulates a random multiplicative process with weak additive noise. The random noises are originated by thermal shot noise and avalanche processes, while the multiplicative process is generated by a fully analog circuit. The resulting signal describes stochastic time series of current interest in several areas such as turbulence, finance, biology and environment, which exhibit power-law distributions. Specifically, we study the correlation properties of the signal by employing a detrended fluctuation analysis and explore its multifractal nature. The singularity spectrum is obtained and analyzed as a function of the control circuit parameter that tunes the asymptotic power-law form of the probability distribution function.

Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:41:y:2009:i:5:p:2806-2811

DOI: 10.1016/j.chaos.2008.10.027

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