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Effect of detrending on multifractal characteristics


  • P. O'swik{e}cimka
  • S. Dro.zd.z
  • J. Kwapie'n
  • A. Z. G'orski


Different variants of MFDFA technique are applied in order to investigate various (artificial and real-world) time series. Our analysis shows that the calculated singularity spectra are very sensitive to the order of the detrending polynomial used within the MFDFA method. The relation between the width of the multifractal spectrum (as well as the Hurst exponent) and the order of the polynomial used in calculation is evident. Furthermore, type of this relation itself depends on the kind of analyzed signal. Therefore, such an analysis can give us some extra information about the correlative structure of the time series being studied.

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  • P. O'swik{e}cimka & S. Dro.zd.z & J. Kwapie'n & A. Z. G'orski, 2012. "Effect of detrending on multifractal characteristics," Papers 1212.0354,
  • Handle: RePEc:arx:papers:1212.0354

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    1. Jarque, Carlos M. & Bera, Anil K., 1980. "Efficient tests for normality, homoscedasticity and serial independence of regression residuals," Economics Letters, Elsevier, vol. 6(3), pages 255-259.
    2. Esmaeili, Habib & Kl├╝ppelberg, Claudia, 2010. "Parameter estimation of a bivariate compound Poisson process," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 224-233, October.
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