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Title: Generalized Approach to Analysis of Multifractal Properties from Short Time Series
Authors: Kirichenko, Lyudmyla
Abed Saif Ahmed, Alghawli
Radivilova, Tamara
Keywords: fractal time series
multifractal analysis
estimation of multifractal characteristics
generalized Hurst exponent
practical applications of fractal analysis
Issue Date: 2020
Publisher: ХНУРЕ
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
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.
Appears in Collections:Кафедра інфокомунікаційної інженерії (ІКІ)

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