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Assessing cross-dependencies using bivariate multifractal analysis

Abstract: 

Multifractal analysis, notably with its recent wavelet-leader based formulation, has nowadays become a reference tool to characterize scale-free temporal dynamics in time series. It proved successful in numerous applications very diverse in nature. However, such successes remained restricted to univariate analysis while many recent applications call for the joint analysis of several components. Surprisingly, multivariate multifractal analysis remained mostly overlooked. The present contribution aims at defining a wavelet leader based framework for multivariate multifractal analysis and at studying its properties and estimation performance. To better understand what properties of multivariate data are actually captured in multivariate multifractal analysis, a multivariate multifractal model is used as representative paradigm and permits to show that multivariate multifractal analysis puts in evidence transient and local dependencies that are not well quantified or even evidenced by the classical Pearson correlation coefficient.

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Paper Details

Authors:
Herwig Wendt, Roberto Leonarduzzi, Patrice Abry, Stephane Roux, Stephane Jaffard, Stephane Seuret
Submitted On:
12 April 2018 - 11:11am
Short Link:
Type:
Poster
Event:
Presenter's Name:
Patrice Abry
Paper Code:
1598
Document Year:
2018
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Document Files

poster_ICASSP_2018_bivar_v00.pdf

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[1] Herwig Wendt, Roberto Leonarduzzi, Patrice Abry, Stephane Roux, Stephane Jaffard, Stephane Seuret, "Assessing cross-dependencies using bivariate multifractal analysis", IEEE SigPort, 2018. [Online]. Available: http://sigport.org/2377. Accessed: Jul. 18, 2019.
@article{2377-18,
url = {http://sigport.org/2377},
author = {Herwig Wendt; Roberto Leonarduzzi; Patrice Abry; Stephane Roux; Stephane Jaffard; Stephane Seuret },
publisher = {IEEE SigPort},
title = {Assessing cross-dependencies using bivariate multifractal analysis},
year = {2018} }
TY - EJOUR
T1 - Assessing cross-dependencies using bivariate multifractal analysis
AU - Herwig Wendt; Roberto Leonarduzzi; Patrice Abry; Stephane Roux; Stephane Jaffard; Stephane Seuret
PY - 2018
PB - IEEE SigPort
UR - http://sigport.org/2377
ER -
Herwig Wendt, Roberto Leonarduzzi, Patrice Abry, Stephane Roux, Stephane Jaffard, Stephane Seuret. (2018). Assessing cross-dependencies using bivariate multifractal analysis. IEEE SigPort. http://sigport.org/2377
Herwig Wendt, Roberto Leonarduzzi, Patrice Abry, Stephane Roux, Stephane Jaffard, Stephane Seuret, 2018. Assessing cross-dependencies using bivariate multifractal analysis. Available at: http://sigport.org/2377.
Herwig Wendt, Roberto Leonarduzzi, Patrice Abry, Stephane Roux, Stephane Jaffard, Stephane Seuret. (2018). "Assessing cross-dependencies using bivariate multifractal analysis." Web.
1. Herwig Wendt, Roberto Leonarduzzi, Patrice Abry, Stephane Roux, Stephane Jaffard, Stephane Seuret. Assessing cross-dependencies using bivariate multifractal analysis [Internet]. IEEE SigPort; 2018. Available from : http://sigport.org/2377