The effects of observational correlated noises on multifractal detrended fluctuation analysis
| Autor: | Luciano Zunino, Damián Gulich |
|---|---|
| Rok vydání: | 2012 |
| Předmět: |
ADDITIVE CORRELATED NOISE
MULTIFRACTAL DETRENDED FLUCTUATION ANALYSIS Statistics and Probability Generalization Ciencias Físicas Multifractal system White noise GENERALIZED HURST EXPONENTS Otras Ciencias Físicas Condensed Matter Physics Noise (electronics) TIME SERIES ANALYSIS Statistics Detrended fluctuation analysis MULTIFRACTALITY Statistical physics Time series Spurious relationship Scaling CIENCIAS NATURALES Y EXACTAS Mathematics |
| Zdroj: | Physica A: Statistical Mechanics and its Applications. 391:4100-4110 |
| ISSN: | 0378-4371 |
| DOI: | 10.1016/j.physa.2012.04.001 |
| Popis: | We have numerically investigated the effects that observational correlated noises have on the generalized Hurst exponents, h(q), estimated by using the multifractal generalization of detrended fluctuation analysis (MF-DFA). More precisely, artificially generated stochastic binomial multifractals with increased amount of colored noises were analyzed via MF-DFA. It has been recently shown that for moderate additions of white noise, the generalized Hurst exponents are significantly underestimated for q |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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