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Fractal and Diffusion Entropy Analysis of Time Series
Theory, concepts, applications and computer codes for studying fractal noises and Lévy walk signals
Nicola Scafetta
Livre broché | Anglais
77,95 €
+ 155 points
Description
Scale invariance has been found to empirically hold for a number of complex systems. The correct evaluation of the scaling exponents of a time series is fundamental to assess the real physical nature of a phenomenon. The traditional methods used to determine these scaling exponents are equivalent because they all rely on the numerical evaluation of the variance. However, two statistical classes of phenomena exist: fractal Brownian motions and Lévy flights and walks. In this book I present the theory and concepts of alternative fractal methods of time series analysis. I introduce a complementary method based on the Shannon entropy: the Diffusion Entropy Analysis (DEA). Using synthetic, solar, geophysical, sociological, physiological and biological data, I examine the properties of these methodologies and discuss the physical ambiguities of the variance-based methods. I argue that the variance-based algorithms should be used together with DEA to properly distinguish fractal Brownian motions from Lévy flight-walk classes of noises and complex processes. Computer C++ codes are provided for generating complex fractal noises and performing multiple fractal analyses of time series.
Spécifications
Parties prenantes
- Auteur(s) :
- Editeur:
Contenu
- Nombre de pages :
- 300
- Langue:
- Anglais
Caractéristiques
- EAN:
- 9783639257953
- Date de parution :
- 28-05-10
- Format:
- Livre broché
- Format numérique:
- Trade paperback (VS)
- Dimensions :
- 152 mm x 229 mm
- Poids :
- 439 g
