significance: Significance of MF-DFA

In wol-fi/multifractal: Multifractal and Surrogate Analysis

Significance of MF-DFA

Description

Tests the significance of multifractality for an object of class multifractal based on iaaft surrogates.

Usage

significance(model, size, pval, ...)

Arguments

mdl	an object of class multifractal. See mfdfa for further details.
size	a numeric value indicating the number of surrogates.
pval	a numeric value indicating the confidence level (p-value). Default is 0.05, i.e. 95% confidence.

Details

The significance of multifractality is computed by creating IAAFT surrogates and computing the corresponding multifractal spreads. The surrogates have same distribution, length and linear-correlation as the original series but are not exposed to multifractality. Therfore, the spread as computed on the surrogates represent the spourious degree of multifractality.

Value

Returns a matrix of the original and spourious spreads of Hurst and Holder exponents.

Author(s)

Wolfgang Schadner

See Also

mfdfa

Examples

  n <- 1024

  # random t-distributed variable:
  x <- rt(n, 3)

  mdl <- mfdfa(x, overlap=T)
  plot(mdl)
  significance(mdl)

wol-fi/multifractal documentation built on May 31, 2022, 1:18 a.m.