Augmented set of probabilistic geometrical features of the Multifractal Spectrum for Multifractal Detrended Fluctuation Analysis (MFDFA)
Sawon1234/Extended-MFDFA-features
Augmented set of probabilistic features of the Multifractal Spectrum of Multifractal Detrended Fluctuation Analysis (MFDFA) is proposed which quantifies the geometrical distortion and statistical self-entanglement of the Multi-fractal spectrum and adequately captures the local and global time series singularity. The efficacy of the proposed feature set in addition to the conventional Hurst Exponent and Singularity Spectrum Width features has been discussed for its enhanced overall volatility, multi-scale strength and fractal dimension characterization along with better stability and noise immunity features.