Multifractal methodology

Hadrien Salat, Roberto Murcio and Elsa Arcaute

Physica A: Statistical Mechanics and its Applications, 2017, vol. 473, issue C, 467-487

Abstract: Various methods have been developed independently to study the multifractality of measures in many different contexts. Although they all convey the same intuitive idea of giving a “dimension” to sets where a quantity scales similarly within a space, they are not necessarily equivalent on a more rigorous level. This review article aims at unifying the multifractal methodology by presenting the multifractal theoretical framework and principal practical methods, namely the moment method, the histogram method, multifractal detrended fluctuation analysis (MDFA) and wavelet transform modulus maxima (WTMM), with a comparative and interpretative eye.

Keywords: Multifractal analysis; Multifractal moment method; Multifractal histogram method; Multifractal detrended fluctuation analysis; Multifractal modulus maxima wavelet transform method (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:473:y:2017:i:c:p:467-487

DOI: 10.1016/j.physa.2017.01.041

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