Related papers: Detrended Fluctuation Analysis for Continuous Real…
In this paper, we show that slow feature analysis (SFA), a common time series decomposition method, naturally fits into the flow-based models (FBM) framework, a type of invertible neural latent variable models. Building upon recent advances…
Multifractal Detrended Fluctuation Analysis (MFDFA) is a powerful and widely used technique for characterizing the scaling properties and long-range correlations of complex time series. However, its application often involves significant…
We study the statistical properties of volatility---a measure of how much the market is likely to fluctuate. We estimate the volatility by the local average of the absolute price changes. We analyze (a) the S&P 500 stock index for the…
In this paper we present an extended version of Hilbert-Huang transform, namely arbitrary-order Hilbert spectral analysis, to characterize the scale-invariant properties of a time series directly in an amplitude-frequency space. We first…
Fractal behavior and long-range dependence are widely observed in measurements and characterization of traffic flow in high-speed computer networks of different technologies and coverage levels. This paper presents the results obtained when…
The analysis of non-stationary time-series data requires insight into its local and global patterns with physical interpretability. However, traditional smoothing algorithms, such as B-splines, Savitzky-Golay filtering, and Empirical Mode…
Multivariate probability density functions of returns are constructed in order to model the empirical behavior of returns in a financial time series. They describe the well-established deviations from the Gaussian random walk, such as an…
Complex systems consist of many interacting elements which participate in some dynamical process. The activity of various elements is often different and the fluctuation in the activity of an element grows monotonically with the average…
In this paper, we present an assortment of both standard and advanced Fourier techniques that are useful in the analysis of astrophysical time series of very long duration -- where the observation time is much greater than the time…
We present here a general iterative formula which gives a (formal) series expansion for the time autocorrelation of smooth dynamical variables, for all Hamiltonian systems endowed with an invariant measure. We add some criteria, theoretical…
Based on the Multifractal Detrended Fluctuation Analysis (MFDFA) and on the Wavelet Transform Modulus Maxima (WTMM) methods we investigate the origin of multifractality in the time series. Series fluctuating according to a qGaussian…
We present the application of a fluctuating hydrodynamic theory to study current fluctuations in diffusive systems on a semi-infinite line in contact with a reservoir with slow coupling. We show that the distribution of the time-integrated…
In this paper, we explore dimension reduction for functional time series. We propose a generalized dynamic functional principal component analysis (GDFPCA) which does not rely on spectral density estimation and demonstrates strong empirical…
We have carried out a detailed study of scaling region using detrended fractal analysis test by applying different forcing likewise noise, sinusoidal, square on the floating potential fluctuations acquired under different pressures in a DC…
Time series defined by a p-adic pseudo-differential equation is investigated using the expansion of the time series over p-adic wavelets. Quadratic correlation function is computed. This correlation function shows a degree--like behavior…
When common factors strongly influence two cross-correlated time series recorded in complex natural and social systems, the results will be biased if we use multifractal detrended cross-correlation analysis (MF-DXA) without considering…
The length of minimal and maximal blocks equally distant on log-log scale versus fluctuation function considerably influences bias and variance of DFA. Through a number of extensive Monte Carlo simulations and different fractional Brownian…
We investigate the presence of residual multifractal background for monofractal signals which appears due to the finite length of the signals and (or) due to the long memory the signals reveal. This phenomenon is investigated numerically…
The concept of distance covariance/correlation was introduced recently to characterize dependence among vectors of random variables. We review some statistical aspects of distance covariance/correlation function and we demonstrate its…
In this paper, the variable wind power is incorporated into the dynamic model for long-term stability analysis. A theory-based method is proposed for power systems with wind power to conduct long-term stability analysis, which is able to…