MFDFA
- class fathon.MFDFA(tsVec)
Bases:
object
MultiFractal Detrended Fluctuation Analysis class.
- Parameters:
tsVec (iterable) – Time series used for the analysis.
- computeFlucVec(winSizes, qList, polOrd=1, revSeg=False)
Computation of the fluctuations in each window for each q-order.
- Parameters:
winSizes (numpy ndarray) – Array of window’s sizes.
qList (float or iterable or numpy ndarray) – List of q-orders used to compute F.
polOrd (int, optional) – Order of the polynomial to be fitted in each window (default : 1).
revSeg (bool, optional) – If True, the computation of F is repeated starting from the end of the time series (default : False).
- Returns:
numpy ndarray – Array n of window’s sizes.
numpy ndarray – qxn array F containing the values of the fluctuations in each window for each q-order.
- computeMassExponents()
Computation of the mass exponents.
- Returns:
Mass exponents.
- Return type:
numpy ndarray
- computeMultifractalSpectrum()
Computation of the multifractal spectrum.
- Returns:
numpy ndarray – Singularity strengths.
numpy ndarray – Multifractal spectrum.
- fitFlucVec(nStart=-999, nEnd=-999, logBase=2.718281828459045, verbose=False)
Fit of the fluctuations values.
- Parameters:
nStart (int, optional) – Size of the smaller window used to fit F at each q-order (default : first value of n).
nEnd (int, optional) – Size of the bigger window used to fit F at each q-order (default : last value of n).
logBase (float, optional) – Base of the logarithm for the log-log fit of n vs F (default : e).
verbose (bool, optional) – Verbosity (default : False).
- Returns:
numpy ndarray – Slope of the fit for each q-order.
numpy ndarray – Intercept of the fit for each q-order.
- saveObject(outFileName)
Save current object state to binary file.
- Parameters:
outFileName (str) – Output binary file. .fathon extension will be appended to the file name.
Usage examples
import numpy as np
import fathon
from fathon import fathonUtils as fu
#time series
a = np.random.randn(10000)
#zero-mean cumulative sum
a = fu.toAggregated(a)
#initialize mfdfa object
pymfdfa = fathon.MFDFA(a)
#compute fluctuation function and generalized Hurst exponents
wins = fu.linRangeByStep(10, 2000)
n, F = pymfdfa.computeFlucVec(wins, np.arange(-3, 4, 0.1), revSeg=True, polOrd=1)
list_H, list_H_intercept = pymfdfa.fitFlucVec()
#compute mass exponents
tau = pymfdfa.computeMassExponents()
#compute multifractal spectrum
alpha, mfSpect = pymfdfa.computeMultifractalSpectrum()