Multifractal detrended fluctuation analysis of nonstationary time series

Jan W. Kantelhardt, Stephan A. Zschiegner, Eva Koscielny-Bunde, Shlomo Havlin, Armin Bunde and H.Eugene Stanley

Physica A: Statistical Mechanics and its Applications, 2002, vol. 316, issue 1, 87-114

Abstract: We develop a method for the multifractal characterization of nonstationary time series, which is based on a generalization of the detrended fluctuation analysis (DFA). We relate our multifractal DFA method to the standard partition function-based multifractal formalism, and prove that both approaches are equivalent for stationary signals with compact support. By analyzing several examples we show that the new method can reliably determine the multifractal scaling behavior of time series. By comparing the multifractal DFA results for original series with those for shuffled series we can distinguish multifractality due to long-range correlations from multifractality due to a broad probability density function. We also compare our results with the wavelet transform modulus maxima method, and show that the results are equivalent.

Keywords: Multifractal formalism; Scaling; Nonstationarities; Time series analysis; Long-range correlations; Broad distributions; Detrended fluctuation analysis (search for similar items in EconPapers)
Date: 2002
References: View complete reference list from CitEc
Citations: View citations in EconPapers (732)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437102013833
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:316:y:2002:i:1:p:87-114

DOI: 10.1016/S0378-4371(02)01383-3

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().