Apparent/spurious multifractality of data sampled from fractional Brownian/Lévy motions

Research output: Contribution to journalArticle

17 Citations (Scopus)

Abstract

Many earth and environmental variables appear to be self-affine (monofractal) or multifractal with spatial (or temporal) increments having exceedance probability tails that decay as powers of -α where 1 < α ≤ 2. The literature considers selfaffine and multifractal modes of scaling to be fundamentally different, the first arising from additive and the second from multiplicative random fields or processes. We demonstrate theoretically that data having finite support, sampled across a finite domain from one or several realizations of an additive Gaussian field constituting fractional Brownian motion (fBm) characterized by α = 2, give rise to positive square (or absolute) increments which behave as if the field was multifractal when in fact it is monofractal. Sampling such data from additive fractional Lévy motions (fLm) with 1 < α < 2 causes them to exhibit spurious multifractality. Deviations from apparent multifractal behaviour at small and large lags are due to nonzero data support and finite domain size, unrelated to noise or undersampling (the causes cited for such deviations in the literature). Our analysis is based on a formal decomposition of anisotropic fLm (fBm when α = 2) into a continuous hierarchy of statistically independent and homogeneous random fields, or modes, which captures the above behaviour in terms of only E + 3 parameters where E is Euclidean dimension. Although the decomposition is consistent with a hydrologic rationale proposed by Neuman (2003), its mathematical validity is independent of such a rationale. Our results suggest that it may be worth checking how closely would variables considered in the literature to be multifractal (e.g. experimental and simulated turbulent velocities, some simulated porous flow velocities, landscape elevations, rain intensities, river network area and width functions, river flow series, soil water storage and physical properties) fit the simpler monofractal model considered in this paper (such an effort would require paying close attention to the support and sampling window scales of the data). Parsimony would suggest associating variables found to fit both models equally well with the latter.

Original languageEnglish (US)
Pages (from-to)2056-2067
Number of pages12
JournalHydrological Processes
Volume24
Issue number15
DOIs
StatePublished - Jul 2010

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Brownian motion
decomposition
sampling
water storage
river flow
flow velocity
physical property
soil water
river

Keywords

  • Fractals
  • Fractional Brownian motion
  • Fractional Lévy motions
  • Heavy tailed distribution
  • Multifractals
  • Sampling

ASJC Scopus subject areas

  • Water Science and Technology

Cite this

Apparent/spurious multifractality of data sampled from fractional Brownian/Lévy motions. / Neuman, Shlomo P.

In: Hydrological Processes, Vol. 24, No. 15, 07.2010, p. 2056-2067.

Research output: Contribution to journalArticle

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