justincui/MFDFA

Application of the MultiFractal Detrended Fluctuation Analysis on Time Series

MFDFA : MultiFractal Detrended Fluctuation Analysis for Time Series

Applies the MultiFractal Detrended Fluctuation Analysis (MFDFA) on time series. The package contains some suggestion plot of the MFDFA results.

Version: 1.0

Author: Mohamed Laib, Luciano Telesca and Mikhail Kanevski

Maintainer: Mohamed Laib Mohamed.Laib@unil.ch

URL: https://sites.google.com/site/mohamedlaibwebpage/

License: GPL-3

Note: This R code was developed and used for the following papers:

Long-range fluctuations and multifractality in connectivity density time series of a wind speed monitoring network, submitted.

M. Laib, J. Golay, L. Telesca, M. Kanevski, Multifractal analysis of the time series of daily means of wind speed in complex regions, Chaos, Solitons & Fractals, 109 (2018) pp. 118-127.

MFDFA package installation: from github

install.packages("devtools")
devtools::install_github("mlaib/MFDFA")
library(MFDFA)

Example

a<-0.9
N<-1024
tsx<-MFsim(N,a)
scale=10:100
q<--10:10
m<-1
mfdfa<-MFDFA(tsx, scale, m, q)

Results plot

dev.new()
par(mai=rep(1, 4))
plot(q, mfdfa$Hq, col=1, axes= F, ylab=expression('h'[q]), pch=16, cex.lab=1.8,
     cex.axis=1.8, main="Hurst exponent",
     ylim=c(min(mfdfa$Hq),max(mfdfa$Hq)))
grid(col="midnightblue")
axis(1)
axis(2)