Estimation of multifractality based on natural time analysis

A. Mintzelas, N.V. Sarlis and S.-R.G. Christopoulos

Physica A: Statistical Mechanics and its Applications, 2018, vol. 512, issue C, 153-164

Abstract: Recent studies have shown that results deduced on the basis of a new time domain termed natural time reveal that novel dynamical features hidden behind time-series in complex systems can be uncovered. Here, we propose a method for estimating the multifractal behavior of time series by studying the fluctuations of natural time under time reversal. Examples of the application of this method to fractional Gaussian noises, fractional Brownian motions, binomial multifractal series, Lévy processes as well as interbeat intervals’ time series from electrocardiograms are presented.

Keywords: Time reversal; Natural time; Multifractals; fGn; fBm; Heart rate variability (search for similar items in EconPapers)
Date: 2018
References: View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:512:y:2018:i:c:p:153-164

DOI: 10.1016/j.physa.2018.08.015

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