The effects of observational correlated noises on multifractal detrended fluctuation analysis

Autores
Gulich, Maximiliano Damián; Zunino, Luciano José
Año de publicación
2012
Idioma
inglés
Tipo de recurso
artículo
Estado
versión publicada
Descripción
We have numerically investigated the effects that observational correlated noises have on the generalized Hurst exponents, h(q), estimated by using the multifractal generalization of detrended fluctuation analysis (MF-DFA). More precisely, artificially generated stochastic binomial multifractals with increased amount of colored noises were analyzed via MF-DFA. It has been recently shown that for moderate additions of white noise, the generalized Hurst exponents are significantly underestimated for q<2 and they are nearly unchanged for q<2 [J. Ludescher, M.I. Bogachev, J.W. Kantelhardt, A.Y. Schumann, A. Bunde, On spurious and corrupted multifractality: the effects of additive noise, short- term memory and periodic trends, Physica A 390 (2011) 2480-2490]. In this paper, we have found that h(q) with q<2 are also affected when correlated noises are considered. This is due to the fact that the spurious correlations influence the scaling behaviors associated to large fluctuations. The results obtained are significant for practical situations, where noises with different correlations are inherently present.
Fil: Gulich, Maximiliano Damián. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - La Plata. Centro de Investigaciones Ópticas. Provincia de Buenos Aires. Gobernación. Comisión de Investigaciones Científicas. Centro de Investigaciones Ópticas. Universidad Nacional de La Plata. Centro de Investigaciones Ópticas; Argentina
Fil: Zunino, Luciano José. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - La Plata. Centro de Investigaciones Ópticas. Provincia de Buenos Aires. Gobernación. Comisión de Investigaciones Científicas. Centro de Investigaciones Ópticas. Universidad Nacional de La Plata. Centro de Investigaciones Ópticas; Argentina
Materia
Additive Correlated Noise
Generalized Hurst Exponents
Multifractal Detrended Fluctuation Analysis
Multifractality
Time Series Analysis
Nivel de accesibilidad
acceso abierto
Condiciones de uso
https://creativecommons.org/licenses/by-nc-nd/2.5/ar/
Repositorio
CONICET Digital (CONICET)
Institución
Consejo Nacional de Investigaciones Científicas y Técnicas
OAI Identificador
oai:ri.conicet.gov.ar:11336/75300
Acceder
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network_acronym_str CONICETDig
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network_name_str CONICET Digital (CONICET)
spelling The effects of observational correlated noises on multifractal detrended fluctuation analysisGulich, Maximiliano DamiánZunino, Luciano JoséAdditive Correlated NoiseGeneralized Hurst ExponentsMultifractal Detrended Fluctuation AnalysisMultifractalityTime Series Analysishttps://purl.org/becyt/ford/1.3https://purl.org/becyt/ford/1We have numerically investigated the effects that observational correlated noises have on the generalized Hurst exponents, h(q), estimated by using the multifractal generalization of detrended fluctuation analysis (MF-DFA). More precisely, artificially generated stochastic binomial multifractals with increased amount of colored noises were analyzed via MF-DFA. It has been recently shown that for moderate additions of white noise, the generalized Hurst exponents are significantly underestimated for q<2 and they are nearly unchanged for q<2 [J. Ludescher, M.I. Bogachev, J.W. Kantelhardt, A.Y. Schumann, A. Bunde, On spurious and corrupted multifractality: the effects of additive noise, short- term memory and periodic trends, Physica A 390 (2011) 2480-2490]. In this paper, we have found that h(q) with q<2 are also affected when correlated noises are considered. This is due to the fact that the spurious correlations influence the scaling behaviors associated to large fluctuations. The results obtained are significant for practical situations, where noises with different correlations are inherently present.Fil: Gulich, Maximiliano Damián. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - La Plata. Centro de Investigaciones Ópticas. Provincia de Buenos Aires. Gobernación. Comisión de Investigaciones Científicas. Centro de Investigaciones Ópticas. Universidad Nacional de La Plata. Centro de Investigaciones Ópticas; ArgentinaFil: Zunino, Luciano José. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - La Plata. Centro de Investigaciones Ópticas. Provincia de Buenos Aires. Gobernación. Comisión de Investigaciones Científicas. Centro de Investigaciones Ópticas. Universidad Nacional de La Plata. Centro de Investigaciones Ópticas; ArgentinaElsevier Science2012-08info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_6501info:ar-repo/semantics/articuloapplication/pdfapplication/pdfapplication/pdfapplication/pdfhttp://hdl.handle.net/11336/75300Gulich, Maximiliano Damián; Zunino, Luciano José; The effects of observational correlated noises on multifractal detrended fluctuation analysis; Elsevier Science; Physica A: Statistical Mechanics and its Applications; 391; 16; 8-2012; 4100-41100378-4371CONICET DigitalCONICETenginfo:eu-repo/semantics/altIdentifier/doi/10.1016/j.physa.2012.04.001info:eu-repo/semantics/altIdentifier/url/https://www.sciencedirect.com/science/article/pii/S0378437112002944info:eu-repo/semantics/openAccesshttps://creativecommons.org/licenses/by-nc-nd/2.5/ar/reponame:CONICET Digital (CONICET)instname:Consejo Nacional de Investigaciones Científicas y Técnicas2025-09-29T10:11:41Zoai:ri.conicet.gov.ar:11336/75300instacron:CONICETInstitucionalhttp://ri.conicet.gov.ar/Organismo científico-tecnológicoNo correspondehttp://ri.conicet.gov.ar/oai/requestdasensio@conicet.gov.ar; lcarlino@conicet.gov.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:34982025-09-29 10:11:41.385CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicasfalse
dc.title.none.fl_str_mv The effects of observational correlated noises on multifractal detrended fluctuation analysis
title The effects of observational correlated noises on multifractal detrended fluctuation analysis
spellingShingle The effects of observational correlated noises on multifractal detrended fluctuation analysis
Gulich, Maximiliano Damián
Additive Correlated Noise
Generalized Hurst Exponents
Multifractal Detrended Fluctuation Analysis
Multifractality
Time Series Analysis
title_short The effects of observational correlated noises on multifractal detrended fluctuation analysis
title_full The effects of observational correlated noises on multifractal detrended fluctuation analysis
title_fullStr The effects of observational correlated noises on multifractal detrended fluctuation analysis
title_full_unstemmed The effects of observational correlated noises on multifractal detrended fluctuation analysis
title_sort The effects of observational correlated noises on multifractal detrended fluctuation analysis
dc.creator.none.fl_str_mv Gulich, Maximiliano Damián
Zunino, Luciano José
author Gulich, Maximiliano Damián
author_facet Gulich, Maximiliano Damián
Zunino, Luciano José
author_role author
author2 Zunino, Luciano José
author2_role author
dc.subject.none.fl_str_mv Additive Correlated Noise
Generalized Hurst Exponents
Multifractal Detrended Fluctuation Analysis
Multifractality
Time Series Analysis
topic Additive Correlated Noise
Generalized Hurst Exponents
Multifractal Detrended Fluctuation Analysis
Multifractality
Time Series Analysis
purl_subject.fl_str_mv https://purl.org/becyt/ford/1.3
https://purl.org/becyt/ford/1
dc.description.none.fl_txt_mv We have numerically investigated the effects that observational correlated noises have on the generalized Hurst exponents, h(q), estimated by using the multifractal generalization of detrended fluctuation analysis (MF-DFA). More precisely, artificially generated stochastic binomial multifractals with increased amount of colored noises were analyzed via MF-DFA. It has been recently shown that for moderate additions of white noise, the generalized Hurst exponents are significantly underestimated for q<2 and they are nearly unchanged for q<2 [J. Ludescher, M.I. Bogachev, J.W. Kantelhardt, A.Y. Schumann, A. Bunde, On spurious and corrupted multifractality: the effects of additive noise, short- term memory and periodic trends, Physica A 390 (2011) 2480-2490]. In this paper, we have found that h(q) with q<2 are also affected when correlated noises are considered. This is due to the fact that the spurious correlations influence the scaling behaviors associated to large fluctuations. The results obtained are significant for practical situations, where noises with different correlations are inherently present.
Fil: Gulich, Maximiliano Damián. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - La Plata. Centro de Investigaciones Ópticas. Provincia de Buenos Aires. Gobernación. Comisión de Investigaciones Científicas. Centro de Investigaciones Ópticas. Universidad Nacional de La Plata. Centro de Investigaciones Ópticas; Argentina
Fil: Zunino, Luciano José. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - La Plata. Centro de Investigaciones Ópticas. Provincia de Buenos Aires. Gobernación. Comisión de Investigaciones Científicas. Centro de Investigaciones Ópticas. Universidad Nacional de La Plata. Centro de Investigaciones Ópticas; Argentina
description We have numerically investigated the effects that observational correlated noises have on the generalized Hurst exponents, h(q), estimated by using the multifractal generalization of detrended fluctuation analysis (MF-DFA). More precisely, artificially generated stochastic binomial multifractals with increased amount of colored noises were analyzed via MF-DFA. It has been recently shown that for moderate additions of white noise, the generalized Hurst exponents are significantly underestimated for q<2 and they are nearly unchanged for q<2 [J. Ludescher, M.I. Bogachev, J.W. Kantelhardt, A.Y. Schumann, A. Bunde, On spurious and corrupted multifractality: the effects of additive noise, short- term memory and periodic trends, Physica A 390 (2011) 2480-2490]. In this paper, we have found that h(q) with q<2 are also affected when correlated noises are considered. This is due to the fact that the spurious correlations influence the scaling behaviors associated to large fluctuations. The results obtained are significant for practical situations, where noises with different correlations are inherently present.
publishDate 2012
dc.date.none.fl_str_mv 2012-08
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
http://purl.org/coar/resource_type/c_6501
info:ar-repo/semantics/articulo
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv http://hdl.handle.net/11336/75300
Gulich, Maximiliano Damián; Zunino, Luciano José; The effects of observational correlated noises on multifractal detrended fluctuation analysis; Elsevier Science; Physica A: Statistical Mechanics and its Applications; 391; 16; 8-2012; 4100-4110
0378-4371
CONICET Digital
CONICET
url http://hdl.handle.net/11336/75300
identifier_str_mv Gulich, Maximiliano Damián; Zunino, Luciano José; The effects of observational correlated noises on multifractal detrended fluctuation analysis; Elsevier Science; Physica A: Statistical Mechanics and its Applications; 391; 16; 8-2012; 4100-4110
0378-4371
CONICET Digital
CONICET
dc.language.none.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv info:eu-repo/semantics/altIdentifier/doi/10.1016/j.physa.2012.04.001
info:eu-repo/semantics/altIdentifier/url/https://www.sciencedirect.com/science/article/pii/S0378437112002944
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
https://creativecommons.org/licenses/by-nc-nd/2.5/ar/
eu_rights_str_mv openAccess
rights_invalid_str_mv https://creativecommons.org/licenses/by-nc-nd/2.5/ar/
dc.format.none.fl_str_mv application/pdf
application/pdf
application/pdf
application/pdf
dc.publisher.none.fl_str_mv Elsevier Science
publisher.none.fl_str_mv Elsevier Science
dc.source.none.fl_str_mv reponame:CONICET Digital (CONICET)
instname:Consejo Nacional de Investigaciones Científicas y Técnicas
reponame_str CONICET Digital (CONICET)
collection CONICET Digital (CONICET)
instname_str Consejo Nacional de Investigaciones Científicas y Técnicas
repository.name.fl_str_mv CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicas
repository.mail.fl_str_mv dasensio@conicet.gov.ar; lcarlino@conicet.gov.ar
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score 13.070432

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