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2012 | 121 | 2B | B-34-B-39
Article title

Multifractal Background Noise of Monofractal Signals

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Abstracts
EN
We investigate the presence of multifractal residual background effect for monofractal signals which appears due to the finite length of the signals and (or) due to the constant long memory the signals reveal. This phenomenon is investigated numerically within the multifractal detrended fluctuation analysis (MF-DFA) for artificially generated time series. Next, the analytical formulas enabling to describe the multifractal content in such signals are provided. Final results are shown in the frequently used generalized Hurst exponent h(q) multifractal scenario as a function of time series length L and the autocorrelation scaling exponent value γ. The obtained results may be significant in any practical application of multifractality, including financial data analysis, because the "true" multifractal effect should be clearly separated from the so called "multifractal noise" resulting from the finite data length. Examples from finance in this context are given. The provided formulas may help to decide whether one deals with the signal of real multifractal origin or not and make further step in analysis of the so called spurious or corrupted multifractality discussed in literature.
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Year
Volume
121
Issue
2B
Pages
B-34-B-39
Physical description
Dates
published
2012-02
References
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Document Type
Publication order reference
YADDA identifier
bwmeta1.element.bwnjournal-article-appv121n2ba121z2bp07kz
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