https://doi.org/10.1140/epjb/e2015-60332-x
Regular Article
Quantifying two-dimensional nonstationary signal with power-law correlations by detrended fluctuation analysis
Department of Statistics, School of Science, Wuhan University of
Technology, Wuhan
430070, P.R.
China
a
e-mail: fanqingju@hotmail.com
Received: 28 April 2015
Received in final form: 8 June 2015
Published online: 10 August 2015
In this paper, we develop a new method for the multifractal characterization of two-dimensional nonstationary signal, which is based on the detrended fluctuation analysis (DFA). By applying to two artificially generated signals of two-component ARFIMA process and binomial multifractal model, we show that the new method can reliably determine the multifractal scaling behavior of two-dimensional signal. We also illustrate the applications of this method in finance and physiology. The analyzing results exhibit that the two-dimensional signals under investigation are power-law correlations, and the electricity market consists of electricity price and trading volume is multifractal, while the two-dimensional EEG signal in sleep recorded for a single patient is weak multifractal. The new method based on the detrended fluctuation analysis may add diagnostic power to existing statistical methods.
Key words: Statistical and Nonlinear Physics
© EDP Sciences, Società Italiana di Fisica, Springer-Verlag, 2015
