Search for content and authors
 

Effect of detrending on multifractal characteristics

Paweł Oświęcimka 1Stanisław Drożdż 1,2Jarosław Kwapień 1Andrzej Z. Górski 1

1. Polish Academy of Sciences, Institute of Nuclear Physics (IFJ PAN), Radzikowskiego 152, Kraków 31-342, Poland
2. Cracow University of Technology, Institute of Computing Science, Al. Jana Pawła II 37, Kraków 31-864, Poland

Abstract

The Mandelbrot's concept of multifractals gave rise to one of the most dynamically developing theories in recent years. Its versatility allowed the researchers to apply this concept to describe investigated procesess in many different domains of science such as physics, biology, chemistry, economics and even music. However, there are still some unanswered questions referring to the multifractal theory. One of them concerns the influence of the commonly used detrending procedures on calculated fractal characteristics. For example, in the MFDFA method, a trend is approximated by a polynomial of an appriopriate order. The choice of this order appears to be extremely significant. The use of a too high order can result in suppressing of high-frequency fluctuations. On the other hand, a low order of polynomial does not eliminate the non-stationarity sufficiently. The present analysis shows that these two effects are reflected in the singularity spectrum in which we observe a relation between the width of the spectrum or the Hurst exponent and the order of the polynomial used in the calculations. Furthermore, this relation itself depends on the kind of analysed signal. Therefore, using the polynomial order as a variable in MFDFA could give more complex view on the correlative structure of the investigated signals. 

 

Legal notice
  • Legal notice:
 

Related papers

Presentation: Oral at 6 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych", by Paweł Oświęcimka
See On-line Journal of 6 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych"

Submitted: 2012-01-20 14:59
Revised:   2012-01-20 15:04