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MFDFA procedure explained!
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mohsenim committed Feb 5, 2024
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Expand Up @@ -8,24 +8,25 @@ In what follows, I outline the MFDFA procedure, according to _Kantelhardt, 2002_

Given a series $X = x(1), x(2), \cdots, x(N)$, MFDFA processes the series as follows:
1- Build the profile of the series by subtracting the mean and computing the cumulative sum:
\begin{equation}
$$
Y(i) = \sum_{k=1}^{i} [x(k) - \langle X\rangle], i=1, \cdots, N
\end{equation}
$$
in which $\langle X\rangle$ is the mean of $X$.

2- Divide the profile of the series into $N_s=N/s$ windows for different values of $s$, which is the size of windows.
As the length of the series, $N$, may not be always divisible by $s$ and a portion of the series in the end may be excluded from the computation, the windowing procedure is repeated starting from the end. As a result, the number of windows increases to $2 \times N_s$.

3- Detrend the values in each window $v$, $v=1,\cdots,2\times N_s$, by subtracting the best fitting line, $Y'$, and calculate the mean square fluctuation of residuals:
\begin{equation}
$$
F^2(s, v)=\frac{1}{s}\sum_{i=1}^{s}[Y(s \times (v-1) + i)-Y'(s \times (v-1) + i)]^2
\end{equation}
$$

4- Calculate the $q$th order of the mean square fluctuations:
\begin{equation}
$$
F_q(s) = \{\frac{1}{2\times N_s}\sum_{v=1}^{N_s}[F^2(s, v)]^{q/2}\}^{1/q}
\end{equation}
5- Compute the growth factor of fluctuations, $h(q)$, using a log-log regression on $F_q(s)$ values, i.e. $ \log F_q(s)\sim h(q) \times \log s$
$$

5- Compute the growth factor of fluctuations, $h(q)$, using a log-log regression on $F_q(s)$ values, i.e. $\log F_q(s)\sim h(q) \times \log s$
\end{enumerate}


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