Multifractal temporally weighted detrended cross-correlation analysis of multivariate time series.

Fractal and multifractal properties of various systems have been studied extensively. In this paper, first, the multivariate multifractal detrend cross-correlation analysis (MMXDFA) is proposed to investigate the multifractal features in multivariate time series. MMXDFA may produce oscillations in the fluctuation function and spurious cross correlations. In order to overcome these problems, we then propose the multivariate multifractal temporally weighted detrended cross-correlation analysis (MMTWXDFA). In relation to the multivariate detrended cross-correlation analysis and multifractal temporally weighted detrended cross-correlation analysis, an innovation of MMTWXDFA is the application of the signed Manhattan distance to calculate the local detrended covariance function. To evaluate the performance of the MMXDFA and MMTWXDFA methods, we apply them on some artificially generated multivariate series. Several numerical tests demonstrate that both methods can identify their fractality, but MMTWXDFA can detect long-range cross correlations and simultaneously quantify the levels of cross correlation between two multivariate series more accurately.

Multifractal analysis of weighted networks by a modified sandbox algorithm.

Complex networks have attracted growing attention in many fields. As a generalization of fractal analysis, multifractal analysis (MFA) is a useful way to systematically describe the spatial heterogeneity of both theoretical and experimental fractal patterns. Some algorithms for MFA of unweighted complex networks have been proposed in the past a few years, including the sandbox (SB) algorithm recently employed by our group. In this paper, a modified SB algorithm (we call it SBw algorithm) is proposed for MFA of weighted networks. First, we use the SBw algorithm to study the multifractal property of two families of weighted fractal networks (WFNs): "Sierpinski" WFNs and "Cantor dust" WFNs. We also discuss how the fractal dimension and generalized fractal dimensions change with the edge-weights of the WFN. From the comparison between the theoretical and numerical fractal dimensions of these networks, we can find that the proposed SBw algorithm is efficient and feasible for MFA of weighted networks. Then, we apply the SBw algorithm to study multifractal properties of some real weighted networks - collaboration networks. It is found that the multifractality exists in these weighted networks, and is affected by their edge-weights.