Cascade-Driven Series with Narrower Multifractal Spectra Than Their Surrogates: Standard Deviation of Multipliers Changes Interactions across Scales

Jun Taek Lee and Damian G. Kelty-Stephen

Complexity, 2017, vol. 2017, 1-8

Abstract:

Multifractal (or singularity) spectra widths allow diagnosing cascade structure through comparing original series’ widths to surrogate series’ widths . However, interpretations of have been ambiguous. Stochastic multipliers generate cascades with by diversifying cross-scale interactions using white-noise multipliers. Multifractal detrended fluctuation analysis (MF-DFA) and Chhabra and Jensen’s method provided two estimates of for 200 simulated series at each value incrementing by 0.05. Increasing σ draws away from and towards for both methods but more for MF-DFA. indicates cascades with cross-scale interactions more diverse than in cascades with .

Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:hin:complx:7015243

DOI: 10.1155/2017/7015243

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