 Genuine multifractality in time series is due to temporal correlationsJaros{\l}aw Kwapie\'n, Pawel Blasiak, Stanis{\l}aw Dro\.zd\.z and Pawe{\l} O\'swi\k{e}cimka Abstract: Based on the mathematical arguments formulated within the Multifractal Detrended Fluctuation Analysis (MFDFA) approach it is shown that in the uncorrelated time series from the Gaussian basin of attraction the effects resembling multifractality asymptotically disappear for positive moments when the length of time series increases. A hint is given that this applies to the negative moments as well and extends to the L\'evy stable regime of fluctuations. The related effects are also illustrated and confirmed by numerical simulations. This documents that the genuine multifractality in time series may only result from the long-range temporal correlations and the fatter distribution tails of fluctuations may broaden the width of singularity spectrum only when such correlations are present. The frequently asked question of what makes multifractality in time series - temporal correlations or broad distribution tails - is thus ill posed. In the absence of correlations only the bifractal or monofractal cases are possible. The former corresponds to the L\'evy stable regime of fluctuations while the latter to the ones belonging to the Gaussian basin of attraction in the sense of the Central Limit Theorem. Date: 2022-11, Revised 2023-03 Published in Physical Review E 107, 034139 (2023) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2211.00728 Access Statistics for this paper More papers in Papers from arXiv.org |
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