本文用多重分形减值波动分析法(MF-DFA)定量地研究了在分析时间序列中的多重分形现象时可能遇到的虚假多重分形信号的电平。所研究的效应是由于所使用的数据序列的有限长度而出现的,并被数据最终可能包含的长期记忆所放大。我们给出了这种表观多重分形背景信号的详细定量描述,即广义Hurst指数值扩展的阈值$δH$或多重分形谱宽度的阈值$δAlpha$,在此阈值以下,系统的多重分形性质仅是表观的,即不存在,尽管是$δAlphaneq0$或$δHneq0$。我们发现这种效应对于较短的或持续的序列是非常重要的,并且我们认为它与自相关指数$\\γ$是线性的。其强度随时间序列长度按幂律衰减。本文还研究了在不同长记忆水平的有限时间序列中,基本线性和非线性变换对初始数据的影响。这提供了额外的一组半分析结果。所得到的公式在多重分形的任何跨学科应用中都有重要意义,包括物理、金融数据分析或生理学,因为它们允许将“真正的”多重分形现象与表观的(人工的)多重分形效应分开。它们应该是一个有用的首选工具,以决定我们是否在特定情况下对具有真正多尺度特性的信号进行处理。
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英文标题:
《On the multifractal effects generated by monofractal signals》
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作者:
Dariusz Grech and Grzegorz Pamu{\\l}a
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最新提交年份:
2013
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分类信息:
一级分类:Physics 物理学
二级分类:Data Analysis, Statistics and Probability 数据分析、统计与概率
分类描述:Methods, software and hardware for physics data analysis: data processing and storage; measurement methodology; statistical and mathematical aspects such as parametrization and uncertainties.
物理数据分析的方法、软硬件:数据处理与存储;测量方法;统计和数学方面,如参数化和不确定性。
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一级分类:Quantitative Finance 数量金融学
二级分类:Statistical Finance 统计金融
分类描述:Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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英文摘要:
We study quantitatively the level of false multifractal signal one may encounter while analyzing multifractal phenomena in time series within multifractal detrended fluctuation analysis (MF-DFA). The investigated effect appears as a result of finite length of used data series and is additionally amplified by the long-term memory the data eventually may contain. We provide the detailed quantitative description of such apparent multifractal background signal as a threshold in spread of generalized Hurst exponent values $\\Delta h$ or a threshold in the width of multifractal spectrum $\\Delta \\alpha$ below which multifractal properties of the system are only apparent, i.e. do not exist, despite $\\Delta\\alpha\\neq0$ or $\\Delta h\\neq 0$. We find this effect quite important for shorter or persistent series and we argue it is linear with respect to autocorrelation exponent $\\gamma$. Its strength decays according to power law with respect to the length of time series. The influence of basic linear and nonlinear transformations applied to initial data in finite time series with various level of long memory is also investigated. This provides additional set of semi-analytical results. The obtained formulas are significant in any interdisciplinary application of multifractality, including physics, financial data analysis or physiology, because they allow to separate the \'true\' multifractal phenomena from the apparent (artificial) multifractal effects. They should be a helpful tool of the first choice to decide whether we do in particular case with the signal with real multiscaling properties or not.
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