Apparent multifractality and scale-dependent distribution of data sampled from self-affine processes

Research output: Contribution to journalArticle

13 Citations (Scopus)

Abstract

It has been previously demonstrated theoretically and numerically by the author that square or absolute increments of data sampled from fractional Brownian/Lévy motion (fBm/fLm), or of incremental data sampled from fractional Gaussian/Lévy noise (fGn/fLn), exhibit apparent/spurious multifractality. Here, we generalize these previous development in a way that (a) rigorously subordinates (truncated) fLn to fGn or, in a statistically equivalent manner, (truncated) fLm to fBm; (b) extends the analysis to a wider class of subordinated self-affine processes; (c) provides a simple way to generate such processes and (d) explains why the distribution of corresponding increments tends to evolve from heavy tailed at small lags (separation distances or scales) to Gaussian at larger lags.

Original languageEnglish (US)
Pages (from-to)1837-1840
Number of pages4
JournalHydrological Processes
Volume25
Issue number11
DOIs
StatePublished - May 30 2011

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Brownian motion
distribution
analysis

Keywords

  • Fractional Brownian motion
  • Fractional levy motion
  • Heavy-tailed distribution
  • Multifractality
  • Self-affinity

ASJC Scopus subject areas

  • Water Science and Technology

Cite this

Apparent multifractality and scale-dependent distribution of data sampled from self-affine processes. / Neuman, Shlomo P.

In: Hydrological Processes, Vol. 25, No. 11, 30.05.2011, p. 1837-1840.

Research output: Contribution to journalArticle

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