Related papers: Detrended Fluctuation Analysis for Continuous Real…
In this paper continuous time random walk models approximating fractional space-time diffusion processes are studied. Stochastic processes associated with the considered equations represent time-changed processes, where the time-change…
Wind farms can be regarded as complex systems that are, on the one hand, coupled to the nonlinear, stochastic characteristics of weather and, on the other hand, strongly influenced by supervisory control mechanisms. One crucial problem in…
Scaling laws in astrophysical systems that involve the energy, the geometry, and the spatio-temporal evolution, provide the theoretical framework for physical models of energy dissipation processes. A leading model is the standard…
Many models and real complex systems possess critical thresholds at which the systems shift from one sate to another. The discovery of the early warnings of the systems in the vicinity of critical point are of great importance to estimate…
We study the dynamic structure factor of fluctuating elastic thin sheets subject to conservative (athermal) random forcing. In Steinbock, Katzav & Boudaoud, Phys. Rev. Research 4, 033096 (2022), the static structure factor of such a sheet…
Scaling properties in financial fluctuations are reviewed from the standpoint of statistical physics. We firstly show theoretically that the balance of demand and supply enhances fluctuations due to the underlying phase transition…
Here we discuss a new fast detrending method for the non-stationary RR time series used in Heart Rate Variability analysis. The described method is based on the diffusion equation, and we show numerically that it is equivalent to the widely…
Functional principal component analysis (FPCA) has played an important role in the development of functional time series analysis. This note investigates how FPCA can be used to analyze cointegrated functional time series and proposes a…
The validity of the Fluctuation Relations (FR) for systems in a constant magnetic field is investigated. Recently introduced time-reversal symmetries that hold in presence of static electric and magnetic fields and of deterministic…
Temporal data such as time series can be viewed as discretized measurements of the underlying function. To build a generative model for such data we have to model the stochastic process that governs it. We propose a solution by defining the…
We study the statistical fluctuations (such as the variance) of causal set quantities, with particular focus on the causal set action. To facilitate calculating such fluctuations, we develop tools to account for correlations between causal…
Podobnik and Stanley recently proposed a novel framework, Detrended Cross-Correlation Analysis, for the analysis of power-law cross-correlation between two time-series, a phenomenon which occurs widely in physical, geophysical, financial…
The scaling ranges of time correlations in the cloud base height records of marine boundary layer stratocumulus are studied applying the Detrended Fluctuation Analysis statistical method. We have found that time dependent variations in the…
We consider finite approximations of a fractal generated by an iterated function system of affine transformations on $\mathbb{R}^d$ as a discrete set of data points. Considering a signal supported on this finite approximation, we propose a…
The classical structure-function (SF) method in fully developed turbulence or for scaling processes in general is influenced by large-scale energetic structures, known as infrared effect. Therefore, the extracted scaling exponents…
It is becoming more and more clear that complex networks present remarkable large fluctuations. These fluctuations may manifest differently according to the given model. In this paper we re-consider hidden variable models which turn out to…
Bid-ask spread is taken as an important measure of the financial market liquidity. In this article, we study the dynamics of the spread return and the spread volatility of four liquid stocks in the Chinese stock market, including the memory…
Many human-related activities show power-law decaying interevent time distribution with exponents usually varying between 1 and 2. We study a simple task-queuing model, which produces bursty time series due to the nontrivial dynamics of the…
We are interested in investigating the statistical properties of extreme values for strongly correlated variables. The starting motivation is to understand how the strong-correlation properties of power-law distributed processes affect the…
Based on protein molecular dynamics, we investigate the fractal properties of energy, pressure and volume time series using the multifractal detrended fluctuations analysis (MF-DFA) and the topological and fractal properties of their…