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Physica A: Statistical Mechanics and its Applications, ISSN 0378-4371, 2008, Volume 387, Issue 21, pp. 5080 - 5090
Journal Article
Physical Review E - Statistical Physics, Plasmas, Fluids, and Related Interdisciplinary Topics, ISSN 1063-651X, 2002, Volume 65, Issue 4, p. 15
Journal Article
Journal of Statistical Computation and Simulation, ISSN 0094-9655, 11/2016, Volume 86, Issue 17, pp. 3388 - 3397
Journal Article
Physica A: Statistical Mechanics and its Applications, ISSN 0378-4371, 2002, Volume 316, Issue 1, pp. 87 - 114
Journal Article
Physical Review E - Statistical, Nonlinear, and Soft Matter Physics, ISSN 1539-3755, 11/2015, Volume 92, Issue 5, p. 052815
The detrended cross-correlation coefficient rho(DCCA) has recently been proposed to quantify the strength of cross-correlations on different temporal scales in... 
MULTIFRACTALITY | NONSTATIONARY SERIES | LONG-TERM PERSISTENCE | COEFFICIENT | STOCK-MARKET | PHYSICS, FLUIDS & PLASMAS | QUANTIFICATION | FINANCIAL TIME-SERIES | PHYSICS, MATHEMATICAL | VOLATILITY | DEPENDENCE
Journal Article
Physica A: Statistical Mechanics and its Applications, ISSN 0378-4371, 11/2014, Volume 413, pp. 361 - 372
The multifractal detrended fluctuation analysis technique is employed to analyze the time series of gold consumer price index (CPI) and the market trend of... 
Long-range time correlation | Detrended fluctuation analysis | Consumer price index | Multifractality | Generalized binomial multifractal model | DISTRIBUTIONS | PRICE | PHYSICS, MULTIDISCIPLINARY | STOCK-MARKET | TIME-SERIES | RIVER RUNOFF | Gold | Price indexes
Journal Article
Physical Review E - Statistical, Nonlinear, and Soft Matter Physics, ISSN 1539-3755, 2006, Volume 74, Issue 1, p. 016103
We perform a comparative study of applicability of the multifractal detrended fluctuation analysis (MFDFA) and the wavelet transform modulus maxima (WTMM)... 
VARIABILITY | DNA-SEQUENCES | STOCK-MARKET | PHYSICS, FLUIDS & PLASMAS | PHASE-TRANSITIONS | BEHAVIOR | PRICE FLUCTUATIONS | FRACTAL ANALYSIS | FORMALISM | NONSTATIONARY TIME-SERIES | FINANCIAL MARKET | PHYSICS, MATHEMATICAL
Journal Article
Physical Review E - Statistical, Nonlinear, and Soft Matter Physics, ISSN 1539-3755, 2006, Volume 74, Issue 6, p. 061104
One-dimensional detrended fluctuation analysis (DFA) and multifractal detrended fluctuation analysis (MFDFA) are widely used in the scaling analysis of fractal... 
FRACTIONAL GAUSSIAN NOISES | WAVELET-BASED METHOD | PHYSICS, FLUIDS & PLASMAS | GENERALIZED DIMENSIONS | IMAGE-ANALYSIS | TIME-SERIES | MOVING AVERAGE | STRANGE ATTRACTORS | LONG-RANGE CORRELATIONS | PHYSICS, MATHEMATICAL | COMPUTER EXPERIMENTS | ROUGH SURFACES
Journal Article
Acta Physica Polonica B, ISSN 0587-4254, 10/2015, Volume 46, Issue 10, pp. 1925 - 1938
Multifractal time series analysis is an approach that shows the possible complexity of the system. Nowadays, one of the most popular and the best methods for... 
FRACTALS | PRICE | PHYSICS, MULTIDISCIPLINARY | STOCK-MARKET DYNAMICS | RETURNS | SIGNALS | MOVING AVERAGE | MAGNETIC-FIELD | FORMALISM | NONSTATIONARY TIME-SERIES | WAVELETS
Journal Article
Annals of Applied Probability, ISSN 1050-5164, 12/2016, Volume 26, Issue 6, pp. 3319 - 3380
Multilevel Splitting, also called Subset Simulation, is a Sequential Monte Carlo method to simulate realisations of a rare event as well as to estimate its... 
Sequential Monte Carlo | Rare events | Feynman-Kac semigroups | Interacting particle systems | MONTE-CARLO METHODS | MARKOV-CHAINS | THEOREM | interacting particle systems | STATISTICS & PROBABILITY | Feynman Kac semigroups | SIMULATION | rare events | Probability | Statistics | Mathematics
Journal Article
Physical Review E - Statistical, Nonlinear, and Soft Matter Physics, ISSN 1539-3755, 02/2015, Volume 91, Issue 2, p. 022802
We propose a framework combining detrended fluctuation analysis with standard regression methodology. The method is built on detrended variances and... 
TIME-SERIES | DNA-SEQUENCES | LONG-RANGE CORRELATIONS | PHYSICS, MATHEMATICAL | PHYSICS, FLUIDS & PLASMAS | STATISTICAL PHYSICS
Journal Article
Stochastic Processes and their Applications, ISSN 0304-4149, 07/2014, Volume 124, Issue 7, pp. 2322 - 2362
We analyze the fluctuation of the loss from default around its large portfolio limit in a class of reduced-form models of correlated firm-by-firm default... 
Interacting particle system | Portfolio credit risk | Central limit theorem | SPDES | SOBOLEV SPACE THEORY | STATISTICS & PROBABILITY | EXACT SIMULATION
Journal Article
Mathematical Biosciences, ISSN 0025-5564, 09/2018, Volume 303, pp. 83 - 100
Journal Article
Frontiers in Physiology, ISSN 1664-042X, 2013, Volume 4, p. 274
In this paper multifractal detrended fluctuation analysis (MFDFA) is used to study the human gait time series for normal and diseased sets. It is observed that... 
Gait disease | Non-stationary time series | Degree of correlation | Monofractal | Degree of multifractality | Multifractal | monofractal | DNA-SEQUENCES | PHYSIOLOGY | non-stationary time series | SIGNALS | gait disease | FRACTAL DYNAMICS | degree of correlation | MAGNITUDE | multifractal | degree of multifractality | COMPLEXITY | TIME-SERIES | HUMAN WALKING | STRIDE-INTERVAL | LONG-RANGE CORRELATIONS | SPECTRA
Journal Article
Physical Review E - Statistical, Nonlinear, and Soft Matter Physics, ISSN 1539-3755, 10/2015, Volume 92, Issue 4, p. 042925
Journal Article
Journal of Cosmology and Astroparticle Physics, ISSN 1475-7516, 03/2017, Volume 2017, Issue 3, pp. 57 - 57
Journal Article
Physical Review E - Statistical, Nonlinear, and Soft Matter Physics, ISSN 1539-3755, 02/2013, Volume 87, Issue 2, p. 022918
The performance of the multifractal detrended analysis on short time series is evaluated for synthetic samples of several mono-and multifractal models. The...