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Apparent/spurious multifractality of absolute increments sampled from truncated fractional Gaussian/Lévy noise
Author(s) -
Neuman Shlomo P.
Publication year - 2010
Publication title -
geophysical research letters
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 2.007
H-Index - 273
eISSN - 1944-8007
pISSN - 0094-8276
DOI - 10.1029/2010gl043314
Subject(s) - multifractal system , spurious relationship , scaling , statistical physics , mathematics , multiplicative function , gaussian , gaussian noise , noise (video) , multiplicative noise , physics , statistics , mathematical analysis , fractal , geometry , quantum mechanics , algorithm , artificial intelligence , computer science , image (mathematics) , electrical engineering , signal transfer function , digital signal processing , analog signal , engineering
Many earth and environmental variables appear to scale as multifractals with spatial or temporal increments having exceedance probability tails decaying as powers of − α where 1 < α ≤ 2. The literature considers multifractal scaling to be associated with multiplicative random fields or processes. Elsewhere the author has demonstrated theoretically that square increments, sampled across a finite domain from one or several realizations of additive fractional Gaussian noise (fGn), behave as if the field was multifractal when in fact it is monofractal self‐affine; square increments sampled from additive fractional Lévy noise (fLn) with 1 < α < 2 exhibit spurious multifractality. This brief letter demonstrates the same numerically for random absolute increments. The results have broad implications vis‐à‐vis the scaling of variables considered in the literature to be multifractal, raising the possibility that some if not all may in fact represent truncated monofractal phenomena.