fractal-analysis 0.3.7

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Fractal Analysis

Fractal and multifractal methods, including

• testers:
  • fractional Brownian motion (FBM) tester
  • multifractional Brownian motion (MBM) tester
• estimators:
  • IR hurst exponents estimator of multifractional Brownian motion (MBM)
  • QV hurst exponents estimator of multifractional Brownian motion (MBM)
• simulators:
  • Wood and Chan methods:
    • Wood and Chan fractional Brownian motion (FBM) simulator
    • Wood and Chan multifractional Brownian motion (MBM) simulator
  • DPW methods:
    • DPW fractional Brownian motion (FBM) simulator
    • DPW sub-fractional Brownian motion (sub-FBM) simulator
    • DPW bi-fractional Brownian motion (bi-FBM) simulator
    • DPW tri-fractional Brownian motion (tri-FBM) simulator
    • DPW general fractional self similar process simulator
    • DPW multifractional Brownian motion (MBM) simulator

FBM / MBM tester

Test if a series is FBM (MBM) given the hurst parameter (hurst exponents series). The implementation is based on the following papers:

Michał Balcerek, Krzysztof Burnecki. (2020)
Testing of fractional Brownian motion in a noisy environment.
Chaos, Solitons & Fractals, Volume 140, 110097.
https://doi.org/10.1016/j.chaos.2020.110097

Balcerek, Michał, and Krzysztof Burnecki. (2020)
Testing of Multifractional Brownian Motion. Entropy 22, no. 12: 1403.
https://doi.org/10.3390/e22121403

We added the following improvements to the FBM and/or MBM tester:

• option for automatically estimating sigma
  • based on Theorem 2.3 of the following paper:

    Ayache A., Peng Q. (2012)
    Stochastic Volatility and Multifractional Brownian Motion.
    In: Zili M., Filatova D. (eds) Stochastic Differential Equations and Processes. Springer Proceedings in Mathematics, vol 7. Springer, Berlin, Heidelberg.
    https://doi.org/10.1007/978-3-642-22368-6_6

• option for testing if the series itself is a FBM (MBM)
• option for testing if the increment of the series is the increment of a FBM (MBM)
• option for testing if the series is a FBM (MBM) with an add-on noise
• option for testing if the increment of the series is the increment of a FBM (MBM) with an add-on noise

IR / QV hurst estimator of MBM

Estimate the hurst parameter (hurst exponent series) of a MBM. The implementation is based on the following paper:

Bardet, Jean-Marc & Surgailis, Donatas, 2013.
Nonparametric estimation of the local Hurst function of multifractional Gaussian processes.
Stochastic Processes and their Applications, Elsevier, vol. 123(3), pages 1004-1045.

Bardet, the author in the above paper, provides a Matlab code that can be found at:

http://samm.univ-paris1.fr/Sofwares-Logiciels
Software for estimating the Hurst function H of a Multifractional Brownian Motion: Quadratic Variation estimator and IR estimator

Wood and Chan FBM simulator

Generate a Fractional Brownian Motion (FBM) using Wood and Chan circulant matrix. The implementation is based on the following paper:

A.T.A. Wood, G. Chan, Simulation of stationary Gaussian process in [0,1]d. Journal of Computational and Graphical Statistics, Vol. 3 (1994) 409-432.

and based on a Matlab library Fraclab and its function fbmwoodchan.m that can be found at:

https://project.inria.fr/fraclab

Wood and Chan MBM simulator

Generate a Multi-fractional Brownian Motion (mBm) using Wood&Chan circulant matrix, some krigging and a prequantification. The implementation is based on the following paper:

O. Barrie,"Synthe et estimation de mouvements Browniens multifractionnaires et autres processus rularit prescrite. Dinition du processus autorul multifractionnaire et applications", PhD Thesis (2007)

and based on a Matlab library Fraclab and its function mBmQuantifKrigeage.m that can be found at:

https://project.inria.fr/fraclab

DPW FBM / sub-FBM / bi-FBM / tri-FBM / self similar fractal simulator

Generate a fractional self similar processes.

The main idea is: use Lamperti transform to transfer a self-similar process to a stationary process, and simulate the stationary process using circulant embedding approach (Wood, A.T.A., Chan, G., 1994. Simulation of stationary Gaussian processes in [0, 1]^d. Journal of computational and graphical statistics 3, 409–432). Then a subsequence of the simulated stationary process is convert back to the series.

The implementation is based on our paper:

Y. Ding, Q. Peng, W. Wu "A General Method for Simulating H-self-similar Processes."

DPW MBM simulator

Generates a Multi-fractional Brownian Motion (mBm) using DPW Lamperti Transformation, some krigging and a prequantification.

The implementation is based on our paper:

Y. Ding, Q. Peng, W. Wu "A General Method for Simulating H-self-similar Processes."

To install

To get started, simply do:

pip install fractal-analysis

or check out the code from out GitHub repository.

You can now use the series tester module in Python with:

from fractal_analysis import tester

or use the hurst estimators with

from fractal_analysis import estimator

or use the simulators with

from fractal_analysis import simulator

Examples

FBM / MBM tester

Import:

from fractal_analysis.tester.series_tester import MBMSeriesTester, FBMSeriesTester
from fractal_analysis.tester.critical_surface import CriticalSurfaceFBM, CriticalSurfaceMFBM

To test if a series series is FBM, use CriticalSurfaceFBM with length of the series N, the significance level alpha (look at quantiles of order alpha/2 and 1 − alpha/2), and choose to test on the series itself or its increment series using is_increment_series (default is False, meaning to test on the series itself),

fbm_tester = FBMSeriesTester(critical_surface=CriticalSurfaceFBM(N=N, alpha=0.05, is_increment_series=False))

To test if the series is FBM with hurst parameter 0.3 and use auto estimated sigma square (set sig2=None):

is_fbm, sig2 = fbm_tester.test(h=0.3, x=series, sig2=None, add_on_sig2=0)

If the output contains, for example:

Bad auto sigma square calculated with error 6.239236333681868. Suggest to give sigma square and rerun.

The auto sigma square estimated is not accurate. You may want to manually choose a sigma square and rerun. For example:

is_fbm, sig2 = fbm_tester.test(h=0.3, x=series, sig2=1, add_on_sig2=0)

If you want to test with an add-on noise, change the value of add_on_sig2.

To test if the series is MBM, use CriticalSurfaceMFBM with length of the series N and the significance level alpha (look at quantiles of order alpha/2 and 1 − alpha/2)

mbm_tester = MBMSeriesTester(critical_surface=CriticalSurfaceMFBM(N=N, alpha=0.05, is_increment_series=False))

To test if the series is MBM with a given holder exponent series h_mbm_series and use auto estimated sigma square:

is_mbm, sig2 = mbm_tester.test(h=h_mbm_series, x=series, sig2=None, add_on_sig2=0)

Be aware that MBMSeriesTester requires len(h_mbm_series)==len(series).

Use of cache

Use caching to speed up the testing process. If the series x for testing is unchanged and multiple h and/or sig2 are used, you may want to set is_cache_stat=True to allow cache variable stat. If h and sig2 are unchanged and multiple x are used, you may want to set is_cache_quantile=True to allow cache variable quantile. For example:

mbm_tester = MBMSeriesTester(critical_surface=CriticalSurfaceMFBM(N=N, alpha=0.05), is_cache_stat=True, is_cache_quantile=False)

IR / QV hurst estimator of MBM

Import:

from fractal_analysis.estimator.hurst_estimator import IrHurstEstimator, QvHurstEstimator
import numpy as np
import math

Generate a standard brownian motion

N = 100
series = np.random.randn(N) * 0.5 * math.sqrt(1 / N)
series = np.cumsum(series)

To estimate the hurst exponents series of the above series with alpha=0.2 using IR estimator,

estimator = IrHurstEstimator(mbm_series=series, alpha=0.2)
print(estimator.holder_exponents)

To estimate the hurst exponents series of the above series with alpha=0.2 using QV estimator,

estimator = QvHurstEstimator(mbm_series=series, alpha=0.2)
print(estimator.holder_exponents)

Here the value of alpha decides how many observations on the mbm_series is used to estimate a point of the holder exponent; small alpha means more observations are used for a single point and therefore the variance is small.

Simulators

Wood and Chan FBM simulator

Import:

from fractal_analysis.simulator.wood_chan.wood_chan_fractal_simulator import WoodChanFbmSimulator

To simulate a FBM series with 1000 samples and 0.8 hurst parameter,

woodchan_fbm = WoodChanFbmSimulator(sample_size=1000, hurst_parameter=0.8).get_fbm()

Wood and Chan MBM simulator

Import:

from fractal_analysis.simulator.wood_chan.wood_chan_multi_fractal_simulator import WoodChanMbmSimulator

To simulate a MBM series with 1000 samples and a sin shape holder function,

sample_size=1000
t = np.linspace(0, 1, sample_size)
holder_exponents = 0.5 + 0.3 * np.sin(4 * np.pi * t)
woodchan_mbm = WoodChanMbmSimulator(sample_size=sample_size,holder_exponents=holder_exponents).get_mbm()

DPW FBM simulator

Import:

from fractal_analysis.simulator.dpw.dpw_fractal_simulator import DpwFbmSimulator

To simulate a FBM series with 1000 samples and 0.8 hurst parameter,

dpw_fbm = DpwFbmSimulator(sample_size=1000, hurst_parameter=0.8).get_fbm()

DPW sub-FBM simulator

Import:

from fractal_analysis.simulator.dpw.dpw_fractal_simulator import DpwSubFbmSimulator

To simulate a sub-FBM series with 1000 samples and 0.8 hurst parameter,

dpw_sub_fbm = DpwSubFbmSimulator(sample_size=1000, hurst_parameter=0.8).get_sub_fbm()

DPW bi-FBM simulator

Import:

from fractal_analysis.simulator.dpw.dpw_fractal_simulator import DpwBiFbmSimulator

To simulate a bi-FBM series with 1000 samples, 0.8 hurst parameter, and 0.2 bi factor,

dpw_bi_fbm = DpwBiFbmSimulator(sample_size=1000, hurst_parameter=0.8, bi_factor=0.2).get_bi_fbm()

When bi_factor=1, bi-FBM becomes FBM

DPW tri-FBM simulator

Import:

from fractal_analysis.simulator.dpw.dpw_fractal_simulator import DpwTriFbmSimulator

To simulate a tri-FBM series with 1000 samples, 0.8 hurst parameter, and 0.2 tri factor,

dpw_tri_fbm = DpwTriFbmSimulator(sample_size=1000, hurst_parameter=0.8, tri_factor=0.2).get_tri_fbm()

When tri_factor=1, tri-FBM becomes FBM with multiplier 2.

DPW self similar fractal simulator

Import:

from fractal_analysis.simulator.dpw.dpw_fractal_simulator import DpwSelfSimilarFractalSimulator

To simulate a customized self similar fractal series, you need to input covariance_func. For example,

dpw_self_similar_fractal = DpwSelfSimilarFractalSimulator(sample_size, hurst_parameter, covariance_func).get_self_similar_process()

DPW MBM simulator

Import:

from fractal_analysis.simulator.dpw.dpw_multi_fractal_simulator import DpwMbmSimulator

To simulate a MBM series with 1000 samples and a sin shape holder function,

sample_size = 1000
t = np.linspace(0, 1, sample_size)
holder_exponents = 0.5 + 0.3 * np.sin(4 * np.pi * t)
dpw_mbm = DpwMbmSimulator(sample_size=sample_size, holder_exponents=holder_exponents).get_mbm()

Plot or seed a simulated series

In all simulators, you can use is_plot (default is False) to show or not show the plot of the series. Set is_plot=True and plot_path="path_to_save/plot_name.png" (default is None) to save the plot. Use seed (default is None) to fix the random state. Use y_limits to fix y-axis range. In the mbm simulators, use hurst_name to name the holder exponent function in plot tile.
For example,

dpw_fbm = DpwFbmSimulator(sample_size=1000, hurst_parameter=0.8).get_fbm(is_plot=True, seed=1, plot_path="path_to_save/plot_name.png")

To use lamperti_multiplier in DPW simulators

lamperti_multiplier is a positive integer used for Lamperti transform. Bigger value (usually <=10) provides more accuracy; default value is 5. For example,

dpw_fbm = DpwFbmSimulator(sample_size=1000, hurst_parameter=0.8, lamperti_multiplier=10).get_fbm()