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Multifractal detrended fluctuation analysis of analog random multiplicative processes

Author

Listed:
  • Silva, L.B.M.
  • Vermelho, M.V.D.
  • Lyra, M.L.
  • Viswanathan, G.M.

Abstract

We investigate non-Gaussian statistical properties of stationary stochastic signals generated by an analog circuit that simulates a random multiplicative process with weak additive noise. The random noises are originated by thermal shot noise and avalanche processes, while the multiplicative process is generated by a fully analog circuit. The resulting signal describes stochastic time series of current interest in several areas such as turbulence, finance, biology and environment, which exhibit power-law distributions. Specifically, we study the correlation properties of the signal by employing a detrended fluctuation analysis and explore its multifractal nature. The singularity spectrum is obtained and analyzed as a function of the control circuit parameter that tunes the asymptotic power-law form of the probability distribution function.

Suggested Citation

  • Silva, L.B.M. & Vermelho, M.V.D. & Lyra, M.L. & Viswanathan, G.M., 2009. "Multifractal detrended fluctuation analysis of analog random multiplicative processes," Chaos, Solitons & Fractals, Elsevier, vol. 41(5), pages 2806-2811.
    • Handle: RePEc:eee:chsofr:v:41:y:2009:i:5:p:2806-2811
    DOI: 10.1016/j.chaos.2008.10.027
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    References listed on IDEAS

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