Effect of Detrending on Multifractal Characteristics
P. Oświęcimkaa, S. Drożdża,b, J. Kwapień a and A.Z. Górski a
aInstitute of Nuclear Physics, Polish Academy of Sciences, Kraków, Poland
b Faculty of Physics, Mathematics and Computer Science, Cracow University of Technology, Kraków, Poland
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Different variants of multifractal detrended fluctuation analysis technique are applied in order to investigate various (artificial and real-world) time series. Our analysis shows that the calculated singularity spectra are very sensitive to the order of the detrending polynomial used within the multifractal detrended fluctuation analysis method. The relation between the width of the multifractal spectrum (as well as the Hurst exponent) and the order of the polynomial used in calculation is evident. Furthermore, type of this relation itself depends on the kind of analyzed signal. Therefore, such an analysis can give us some extra information about the correlative structure of the time series being studied.

DOI: 10.12693/APhysPolA.123.597
PACS numbers: 05.45.Df, 05.45.Tp, 89.75.-k