Publications by authors named "Carlos J Quimbay-Herrera"
Article Synopsis
- Multifractality expands on traditional fractal concepts within systems but previously lacked an entropy-based multifractal dimension; this paper introduces a Generalized Shannon Index (GSI) to fill that gap.
- The authors explain existing multifractality approaches, define the GSI and its partition function using techniques like temporal Theil scaling, and derive the multifractal exponent in relation to other established exponents.
- The study validates the connection through examples like fractional Brownian motion and financial time series, proposing a model where multifractal systems are seen as local combinations of different fractional Brownian motions, and offers an algorithm to optimize moment estimation for better Hurst exponent accuracy.
