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| Titel |
Multifractal analysis and simulation of multifractal random walks |
| VerfasserIn |
François G. Schmitt, Yongxiang Huang |
| Konferenz |
EGU General Assembly 2016
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| Medientyp |
Artikel
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| Sprache |
en
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| Digitales Dokument |
PDF |
| Erschienen |
In: GRA - Volume 18 (2016) |
| Datensatznummer |
250126878
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| Publikation (Nr.) |
 EGU/EGU2016-6667.pdf |
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| Zusammenfassung |
| Multifractal time series, characterized by a scale invariance and large fluctuations at all
scales, are found in many fields of natural and applied sciences. They are found i.e. in many
geophysical fields, such as atmospheric and oceanic turbulence, hydrology, earth
sciences. Here we consider a quite general type of multifractal time series, called
multifractal random walk, as non stationary stochastic processes with intermittent
stationary increments. We first quickly recall how such time series can be analyzed
and characterized, using structure functions and arbitrary order Hilbert spectral
analysis.
We then discuss the simulation approach. The main object is to provide a stochastic
process generating time series having the same multiscale properties We review recent works
on this topic, and provide stochastic simulations in order to verify the theoretical predictions.
In the lognormal framework we provide a h − μ plane expressing the scale invariant
properties of these simulations. The theoretical plane is compared to simulation results. |
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