AUTHOR=Stadnitski Tatjana
TITLE=Measuring Fractality
JOURNAL=Frontiers in Physiology
VOLUME=3
YEAR=2012
URL=https://www.frontiersin.org/journals/physiology/articles/10.3389/fphys.2012.00127
DOI=10.3389/fphys.2012.00127
ISSN=1664-042X
ABSTRACT=
When investigating fractal phenomena, the following questions are fundamental for the applied researcher: (1) What are essential statistical properties of 1/f noise? (2) Which estimators are available for measuring fractality? (3) Which measurement instruments are appropriate and how are they applied? The purpose of this article is to give clear and comprehensible answers to these questions. First, theoretical characteristics of a fractal pattern (self-similarity, long memory, power law) and the related fractal parameters (the Hurst coefficient, the scaling exponent α, the fractional differencing parameter d of the autoregressive fractionally integrated moving average methodology, the power exponent β of the spectral analysis) are discussed. Then, estimators of fractal parameters from different software packages commonly used by applied researchers (R, SAS, SPSS) are introduced and evaluated. Advantages, disadvantages, and constrains of the popular estimators (d^ML, power spectral density, detrended fluctuation analysis, signal summation conversion) are illustrated by elaborate examples. Finally, crucial steps of fractal analysis (plotting time series data, autocorrelation, and spectral functions; performing stationarity tests; choosing an adequate estimator; estimating fractal parameters; distinguishing fractal processes from short-memory patterns) are demonstrated with empirical time series.