Generalized Approach to Analysis of Multifractal Properties from Short Time Series

Kirichenko, L.; Abed Saif Ahmed, Alghawli; Radivilova, T.

Публікація:
Generalized Approach to Analysis of Multifractal Properties from Short Time Series

dc.contributor.author	Kirichenko, L.
dc.contributor.author	Abed Saif Ahmed, Alghawli
dc.contributor.author	Radivilova, T.
dc.date.accessioned	2020-06-02T13:08:42Z
dc.date.available	2020-06-02T13:08:42Z
dc.date.issued	2020
dc.description.abstract	The paper considers a generalized approach to the time series multifractal analysis. The focus of research is on the correct estimation of multifractal characteristics from short time series. Based on numerical modeling and estimating, the main disadvantages and advantages of the sample fractal characteristics obtained by three methods: the multifractal fluctuation detrended analysis, wavelet transform modulus maxima and multifractal analysis using discrete wavelet transform are studied. The generalized Hurst exponent was chosen as the basic characteristic for comparing the accuracy of the methods. A test statistic for determining the monofractal properties of a time series using the multifractal fluctuation detrended analysis is proposed. A generalized approach to estimating the multifractal characteristics of short time series is developed and practical recommendations for its implementation are proposed. A significant part of the study is devoted to practical applications of fractal analysis. The proposed approach is illustrated by the examples of multifractal analysis of various real fractal time series.	uk_UA
dc.identifier.citation	Lyudmyla Kirichenko, Abed Saif Ahmed Alghawli, Tamara Radivilova. Generalized Approach to Analysis of Multifractal Properties from Short Time Series. International Journal of Advanced Computer Science and Applications(IJACSA), Volume 11 Issue 5, 2020. P.183-198. doi: 10.14569/IJACSA.2020.0110527	uk_UA
dc.identifier.uri	http://openarchive.nure.ua/handle/document/11937
dc.language.iso	en	uk_UA
dc.publisher	ХНУРЕ	uk_UA
dc.subject	fractal time series	uk_UA
dc.subject	multifractal analysis	uk_UA
dc.subject	estimation of multifractal characteristics	uk_UA
dc.subject	generalized Hurst exponent	uk_UA
dc.subject	practical applications of fractal analysis	uk_UA
dc.title	Generalized Approach to Analysis of Multifractal Properties from Short Time Series	uk_UA
dc.type	Article	uk_UA
dspace.entity.type	Publication