Blocks adjustment -- reduction of bias and variance of detrended fluctuation analysis using Monte Carlo simulation

The length of minimal and maximal blocks equally distant on log-log scale versus fluctuation function considerably influences bias and variance of DFA. Through a number of extensive Monte Carlo simulations and different fractional Brownian motion/fractional Gaussian noise generators, we found the pair of minimal and maximal blocks that minimizes the sum of mean-squared error of estimated Hurst exponents for the series of length N=2^p, p=7,...,15. Sensitivity of DFA to sort-range correlations was examined using ARFIMA(p,d,q) generator. Due to the bias of the estimator for anti-persistent processes, we narrowed down the range of Hurst exponent to 1/2<=H< 1.Comment: 20 pages, 14 figures, accepted for publication in Physica A: August 9, 200

Modified detrended fluctuation analysis based on empirical mode decomposition

Detrended fluctuation analysis (DFA) is a simple but very efficient method for investigating the power-law long-term correlations of non-stationary time series, in which a detrending step is necessary to obtain the local fluctuations at different timescales. We propose to determine the local trends through empirical mode decomposition (EMD) and perform the detrending operation by removing the EMD-based local trends, which gives an EMD-based DFA method. Similarly, we also propose a modified multifractal DFA algorithm, called an EMD-based MFDFA. The performance of the EMD-based DFA and MFDFA methods is assessed with extensive numerical experiments based on fractional Brownian motion and multiplicative cascading process. We find that the EMD-based DFA method performs better than the classic DFA method in the determination of the Hurst index when the time series is strongly anticorrelated and the EMD-based MFDFA method outperforms the traditional MFDFA method when the moment order $q$ of the detrended fluctuations is positive. We apply the EMD-based MFDFA to the one-minute data of Shanghai Stock Exchange Composite index, and the presence of multifractality is confirmed.Comment: 6 RevTex pages including 5 eps figure

Empirical mode decomposition-based facial pose estimation inside video sequences

We describe a new pose-estimation algorithm via integration of the strength in both empirical mode decomposition (EMD) and mutual information. While mutual information is exploited to measure the similarity between facial images to estimate poses, EMD is exploited to decompose input facial images into a number of intrinsic mode function (IMF) components, which redistribute the effect of noise, expression changes, and illumination variations as such that, when the input facial image is described by the selected IMF components, all the negative effects can be minimized. Extensive experiments were carried out in comparisons to existing representative techniques, and the results show that the proposed algorithm achieves better pose-estimation performances with robustness to noise corruption, illumination variation, and facial expressions

Anomalous volatility scaling in high frequency financial data

Volatility of intra-day stock market indices computed at various time horizons exhibits a scaling behaviour that differs from what would be expected from fractional Brownian motion (fBm). We investigate this anomalous scaling by using empirical mode decomposition (EMD), a method which separates time series into a set of cyclical components at different time-scales. By applying the EMD to fBm, we retrieve a scaling law that relates the variance of the components to a power law of the oscillating period. In contrast, when analysing 22 different stock market indices, we observe deviations from the fBm and Brownian motion scaling behaviour. We discuss and quantify these deviations, associating them to the characteristics of financial markets, with larger deviations corresponding to less developed markets.Comment: 25 pages, 11 figure, 5 table

Arbitrary-order Hilbert spectral analysis and intermittency in solar wind density fluctuations

The properties of inertial and kinetic range solar wind turbulence have been investigated with the arbitrary-order Hilbert spectral analysis method, applied to high-resolution density measurements. Due to the small sample size, and to the presence of strong non-stationary behavior and large-scale structures, the classical structure function analysis fails to detect power law behavior in the inertial range, and may underestimate the scaling exponents. However, the Hilbert spectral method provides an optimal estimation of the scaling exponents, which have been found to be close to those for velocity fluctuations in fully developed hydrodynamic turbulence. At smaller scales, below the proton gyroscale, the system loses its intermittent multiscaling properties, and converges to a monofractal process. The resulting scaling exponents, obtained at small scales, are in good agreement with those of classical fractional Brownian motion, indicating a long-term memory in the process, and the absence of correlations around the spectral break scale. These results provide important constraints on models of kinetic range turbulence in the solar wind

Modeling and simulation of the horizontal component of the geomagnetic field by fractional stochastic differential equations in conjunction with empirical mode decomposition

In this paper, we investigate the characteristics and develop a stochastic model for the horizontal component B-x of the magnetic field at 22 stations of the global near-real-time magnetic observatory network INTERMAGNET. The model is in the form of a fractional stochastic differential equation. A method to estimate the parameters on the basis of observed data and to simulate the data using the model is given. The degree of fractional differentiation and the alpha-stability exponent of the process are employed to cluster the stations. The B-x time series possess pronounced local trends, which must be removed before modeling and simulation can be performed. This trend removal is carried out by an empirical mode decomposition. An outcome is an efficient method to simulate the B-x time series by empirical mode decomposition and fractional stochastic differential equation. The numerical results indicate the existence of two distinct clusters of the INTERMAGNET: one in the mid- and low latitudes consistent with the D-st index, and the other above geomagnetic latitude 60 degrees N consistent with the AE index. This clustering corresponds to the inner magnetosphere and the outer magnetosphere, respectively

Turning Tangent Empirical Mode Decomposition: A Framework for Mono- and Multivariate Signals.

International audienceA novel Empirical Mode Decomposition (EMD) algorithm, called 2T-EMD, for both mono- and multivariate signals is proposed in this paper. It differs from the other approaches by its computational lightness and its algorithmic simplicity. The method is essentially based on a redefinition of the signal mean envelope, computed thanks to new characteristic points, which offers the possibility to decompose multivariate signals without any projection. The scope of application of the novel algorithm is specified, and a comparison of the 2T-EMD technique with classical methods is performed on various simulated mono- and multivariate signals. The monovariate behaviour of the proposed method on noisy signals is then validated by decomposing a fractional Gaussian noise and an application to real life EEG data is finally presented

Multi-Fractal Spectral Analysis of the 1987 Stock Market Crash

The multifractal model of asset returns captures the volatility persistence of many financial time series. Its multifractal spectrum computed from wavelet modulus maxima lines provides the spectrum of irregularities in the distribution of market returns over time and thereby of the kind of uncertainty or randomness in a particular market. Changes in this multifractal spectrum display distinctive patterns around substantial market crashes or drawdowns. In other words, the kinds of singularities and the kinds of irregularity change in a distinct fashion in the periods immediately preceding and following major market drawdowns. This paper focuses on these identifiable multifractal spectral patterns surrounding the stock market crash of 1987. Although we are not able to find a uniquely identifiable irregularity pattern within the same market preceding different crashes at different times, we do find the same uniquely identifiable pattern in various stock markets experiencing the same crash at the same time. Moreover, our results suggest that all such crashes are preceded by a gradual increase in the weighted average of the values of the Lipschitz regularity exponents, under low dispersion of the multifractal spectrum. At a crash, this weighted average irregularity value drops to a much lower value, while the dispersion of the spectrum of Lipschitz exponents jumps up to a much higher level after the crash. Our most striking result, therefore, is that the multifractal spectra of stock market returns are not stationary. Also, while the stock market returns show a global Hurst exponent of slight persistence 0.5Financial Markets, Persistence, Multi-Fractal Spectral Analysis, Wavelets