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Relation between Magnitude Series Correlations and Multifractal Spectrum Width

Yosef Ashkenazy·Shlomo Havlin·Plamen Ch. Ivanov·Chung-K. Peng·Verena Schulte-Frohlinde·H. Eugene Stanley
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Abstract

We study the correlation properties of long-range correlated time series, $x_i$, with tunable correlation exponent and built-in multifractal properties. For the cases we investigate we find that the correlation exponent of the magnitude series, $|x_{i+1}-x_i|$, is a monotonically increasing function of the multifractal spectrum width of the original series.

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Yosef Ashkenazy, Shlomo Havlin, Plamen Ch. Ivanov, Chung-K. Peng, Verena Schulte-Frohlinde, H. Eugene Stanley. 2003-01-31. Relation between Magnitude Series Correlations and Multifractal Spectrum Width. https://arxiv.org/abs/cond-mat/0111396

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