fractal-analysis 0.1.1

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Fractal Analysis

Fractal and multifractal methods, including

• fractional Brownian motion (FBM) tester
• multifractional Brownian motion (MBM) tester

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 package in Python with:

from fractal_analysis import tester

Examples

Import:

from fractal_analysis.tester.series_tester import SeriesTester

To test a series series:

tester = SeriesTester(x=series)

To test if the series is FBM with holder exponent 0.3 and use auto estimated sigma square:

is_fbm, sig2, h = tester.is_fbm(h=0.3, sig2=None)

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. One may want to manually choose a sigma square and rerun. For example:

is_fbm, sig2, h = tester.is_fbm(h=0.3, sig2=1)

One can also test the series without specified holder exponent through either setting None to h that searches the correct holder exponent from 0.1 to 1 with step 0.1, or entering customized values. I.e.,

is_fbm, sig2, h = tester.is_fbm(h=None, sig2=None)

or

is_fbm, sig2, h = tester.is_fbm(h=[0,1, 0.2, 0.3], sig2=None)

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

ret, sig2 = tester.is_mbm(h=h_mbm, sig2=None)

If the following appears:

Bad estimated sigma square: 0.0. Suggest to give sigma square and rerun.

One may want to manually choose a sigma square and rerun. For example:

ret, sig2 = tester.is_mbm(h=h_mbm, sig2=1)