Estimation of multifractality based on natural time analysis

Apostolis Mintzelas, N.V. Sarlis, Stavros Christopoulos

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    12 Citations (Scopus)
    129 Downloads (Pure)

    Abstract

    Recent studies have shown that results deduced on the basis of a new time domain termed natural time reveal that novel dynamical features hidden behind time-series in complex systems can be uncovered. Here, we propose a method for estimating the multifractal behavior of time series by studying the fluctuations of natural time under time reversal. Examples of the application of this method to fractional Gaussian noises, fractional Brownian motions, binomial multifractal series, Lévy processes as well as interbeat intervals’ time series from electrocardiograms are presented.

    Original languageEnglish
    Pages (from-to)153-164
    Number of pages11
    JournalPhysica A: Statistical Mechanics and its Applications
    Volume512
    Early online date4 Aug 2018
    DOIs
    Publication statusPublished - Dec 2018

    Bibliographical note

    NOTICE: this is the author’s version of a work that was accepted for publication in Physica A: Statistical Mechanics and its Applications. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Physica A: Statistical Mechanics and its Applications, VOL 512, (2018)] DOI: 10.1016/j.physa.2018.08.015

    © 2017, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/

    Keywords

    • Heart rate variability
    • fBm
    • Time reversal
    • Natural time
    • Multifractals
    • fGn

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