Relation between Magnitude Series Correlations and Multifractal Spectrum Width
Ashkenazy, Yosef · Havlin, Shlomo · Ivanov, Plamen Ch. · Peng, Chung-K. · Schulte-Frohlinde, Verena · Stanley, H. Eugene
Original · EN
We study the correlation properties of long-range correlated time series, xᵢ, with tunable correlation exponent and built-in multifractal properties. For the cases we investigate we find that the correlation exponent of the magnitude series, |xᵢ₊₁-xᵢ|, is a monotonically increasing function of the multifractal spectrum width of the original series.
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