Multivariate Multifractal Detrending Moving Average Analysis of Air Pollutants

Kojić, Milena and Mitić, Petar and Dimovski, Marko and Minović, Jelena (2021) Multivariate Multifractal Detrending Moving Average Analysis of Air Pollutants. Mathematics, 9 (7). ISSN 2227-7390

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One of the most challenging endeavors of contemporary research is to describe and analyze the dynamic behavior of time series arising from real-world systems. To address the need for analyzing long-range correlations and multifractal properties of multivariate time series, we generalize the multifractal detrended moving average algorithm (MFDMA) to the multivariate case and propose a multivariate MFDMA algorithm (MV-MFDMA). The validity and performance of the proposed algorithm are tested by conducting numerical simulations on synthetic multivariate monofractal and multifractal time series. The MV-MFDMA algorithm is then utilized to analyze raw, seasonally adjusted, and remainder components of five air pollutant time series. Results from all three cases reveal multifractal properties with persistent long-range correlations.

Item Type: Article
Additional Information: COBISS.ID=35329033
Uncontrolled Keywords: multifractal detrended moving average, multivariate analysis, air pollutants
Research Department: Sustainable Development
Depositing User: Jelena Banovic
Date Deposited: 31 Mar 2021 08:45
Last Modified: 31 Mar 2021 08:45

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