Related papers: On multifractality and fractional derivatives
We demonstrate analytically and numerically the possibility that the fractal property of a scale-free network cannot be characterized by a unique fractal dimension and the network takes a multifractal structure. It is found that the mass…
We study deviation of U-statistics when samples have heavy-tailed distribution so the kernel of the U-statistic does not have bounded exponential moments at any positive point. We obtain an exponential upper bound for the tail of the…
Based on the well-known Detrended Fluctuation Analysis (DFA) for time series, in this work we describe a DFA for continuous real variable functions. Under certain conditions, DFA accurately predicts the long-term auto-correlation of the…
Statistics of the inverse participation ratio (IPR) at the critical point of the localization transition is studied numerically for the power-law random banded matrix model. It is shown that the IPR distribution function is scale-invariant,…
We construct the existence theory for generalized fractional Bessel differential equations and find the solutions in the form of fractional or logarithmic fractional power series. We figure out the cases when the series solution is unique,…
Detrended Fluctuation Analysis (DFA) is widely used to assess the presence of long-range temporal correlations in time series. Signals with long-range temporal correlations are typically defined as having a power law decay in their…
The concept of multifractality offers a powerful formal tool to filter out multitude of the most relevant characteristics of complex time series. The related studies thus far presented in the scientific literature typically limit themselves…
We consider a self-similar phase space with specific fractal dimension $d$ being distributed with spectrum function $f(d)$. Related thermostatistics is shown to be governed by the Tsallis formalism of the non-extensive statistics, where the…
We analyzed multifractal properties of 5-minute stock returns from a period of over two years for 100 highly capitalized American companies. The two sources: fat-tailed probability distributions and nonlinear temporal correlations, vitally…
We study the volatility time series of 1137 most traded stocks in the US stock markets for the two-year period 2001-02 and analyze their return intervals $\tau$, which are time intervals between volatilities above a given threshold $q$. We…
Scaling laws, a defining feature of deep learning, reveal a striking power-law improvement in model performance with increasing dataset and model size. Yet, their mathematical origins, especially the scaling exponent, have remained elusive.…
In univariate data, there exist standard procedures for identifying dominating features that produce the largest observations. However, in the multivariate setting, the situation is quite different. This paper aims to provide tools and…
We prove large deviation principles for two versions of fractional Poisson processes. Firstly we consider the main version which is a renewal process; we also present large deviation estimates for the ruin probabilities of an insurance…
In many areas of interest, modern risk assessment requires estimation of the extremal behaviour of sums of random variables. We derive the first order upper-tail behaviour of the weighted sum of bivariate random variables under weak…
Strong laws of large numbers are established for random fields with weak or strong dependence. These limit theorems are applicable to random fields with heavy-tailed distributions including fractional stable random fields. The conditions…
It is ubiquitous in natural and social sciences that two variables, recorded temporally or spatially in a complex system, are cross-correlated and possess multifractal features. We propose a new method called multifractal detrended…
Given a branching random walk $(Z_n)_{n\geq0}$ on $\mathbb{R}$, let $Z_n(A)$ be the number of particles located in interval $A$ at generation $n$. It is well known (e.g., \cite{biggins}) that under some mild conditions, $Z_n(\sqrt…
We consider fractional directional derivatives and establish some connection with stable densities. Solutions to advection equations involving fractional directional derivatives are presented and some properties investigated. In particular…
We consider three classes of linear differential equations on distribution functions, with a fractional order $\alpha\in [0,1].$ The integer case $\alpha =1$ corresponds to the three classical extreme families. In general, we show that…
We study temporal correlations and multifractal properties of long river discharge records from 41 hydrological stations around the globe. To detect long-term correlations and multifractal behaviour in the presence of trends, we apply…