The effects of observational correlated noises on multifractal detrended fluctuation analysis

We have numerically investigated the effects that observational correlated noises have on the generalized Hurst exponents, h(q)$h\left(q\right)$, estimated by using the multifractal generalization of detrended fluctuation analysis (MF-DFA). More precisely, artificially generated stochastic binomial multifractals with increased amount of colored noises were analyzed via MF-DFA. It has been recently shown that for moderate additions of white noise, the generalized Hurst exponents are significantly underestimated for q<2$q<2$ and they are nearly unchanged for q≥2$q\ge 2$ [J. Ludescher, M.I. Bogachev, J.W. Kantelhardt, A.Y. Schumann, A. Bunde, On spurious and corrupted multifractality: the effects of additive noise, short- term memory and periodic trends, Physica A 390 (2011) 2480–2490]. In this paper, we have found that h(q)$h\left(q\right)$ with q≥2$q\ge 2$ are also affected when correlated noises are considered. This is due to the fact that the spurious correlations influence the scaling behaviors associated to large fluctuations. The results obtained are significant for practical situations, where noises with different correlations are inherently present.     

Analysis of the efficiency and multifractality of gold markets based on multifractal detrended fluctuation analysis

In this paper, we investigate the efficiency and multifractality of a gold market based on multifractal detrended fluctuation analysis. Our evidence shows that the gold return series are multifractal both for time scales smaller than a month and for time scales larger than a month. For time scales smaller than a month, the main contribution of multifractality is fat-tail distribution. For time scales larger than a month, both long-range correlations and fat-tail distribution play important roles in the contribution of multifractality. Using the method of rolling windows, we find that the gold market became more and more efficient over time, especially after 2001. The abnormal points of scaling exponents can also be related to some occasional events. By defining a new inefficiency measure related to the multifractality, we find that the gold market is more efficient during the upward periods than during the downward periods.     

Effects of acoustical noise on annoyance, performance and fatigue during mental memory task

This paper describes the effects of meaningful and meaningless external acoustical noise, at various sound pressure level values, on participants during a mental task. That is, the authors focused on the psychological impression of `annoyance' caused by noise, and `performance' indicated by factors such as percentage of correct answers and reaction time. More specifically, the authors discussed how these two items depend on the sound pressure level value of noise, and how they change due to meaningful or meaningless noise. Moreover, the difference between subjective feelings of `fatigue' before and after the task, both with and without noise was considered. Furthermore, an investigation was made into how the above items change in the case of aural or visual task presentations. The task was the probe digit, which is a short-term memory task. As a result, the importance of reducing meaningful external noise at low sound pressure level values was shown.     

On the predictability of extreme events in records with linear and nonlinear long-range memory: Efficiency and noise robustness

We study the predictability of extreme events in records with linear and nonlinear long-range memory in the presence of additive white noise using two different approaches: (i) the precursory pattern recognition technique (PRT) that exploits solely the information about short-term precursors, and (ii) the return interval approach (RIA) that exploits long-range memory incorporated in the elapsed time after the last extreme event. We find that the PRT always performs better when only linear memory is present. In the presence of nonlinear memory, both methods demonstrate comparable efficiency in the absence of white noise. When additional white noise is present in the record (which is the case in most observational records), the efficiency of the PRT decreases monotonously with increasing noise level. In contrast, the RIA shows an abrupt transition between a phase of low level noise where the prediction is as good as in the absence of noise, and a phase of high level noise where the prediction becomes poor. In the phase of low and intermediate noise the RIA predicts considerably better than the PRT, which explains our recent findings in physiological and financial records.     

Scaling behavior of a nonlinear oscillator with additive noise,white and colored

We study analytically and numerically the problem of a nonlinear mechanical oscillator with additive noise in the absence of damping. We show that the amplitude, the velocity and the energy of the oscillator grow algebraically with time. For Gaussian white noise, an analytical expression for the probability distribution function of the energy is obtained in the long-time limit. In the case of colored, Ornstein-Uhlenbeck noise, a self-consistent calculation leads to (different) anomalous diffusion exponents. Dimensional analysis yields the qualitative behavior of the prefactors (generalized diffusion constants) as a function of the correlation time. Received 10 October 2002 Published online 6 March 2003 RID="a" ID="a"e-mail: mallick@spht.saclay.cea.fr     

Accuracy of stress measurement by Laue microdiffraction (Laue‐DIC method): the influence of image noise,calibration errors and spot number

Laue microdiffraction, available at several synchrotron radiation facilities, is well suited for measuring the intragranular stress field in deformed materials thanks to the achievable submicrometer beam size. The traditional method for extracting elastic strain (and hence stress) and lattice orientation from a microdiffraction image relies on fitting each Laue spot with an analytical function to estimate the peak position on the detector screen. The method is thus limited to spots exhibiting ellipsoidal shapes, thereby impeding the study of specimens plastically deformed. To overcome this difficulty, the so‐called Laue‐DIC method introduces digital image correlation (DIC) for the evaluation of the relative positions of spots, which can thus be of any shape. This paper is dedicated to evaluating the accuracy of this Laue‐DIC method. First, a simple image noise model is established and verified on the data acquired at beamline BM32 of the European Synchrotron Radiation Facility. Then, the effect of image noise on errors on spot displacement measured by DIC is evaluated by Monte Carlo simulation. Finally, the combined effect of the image noise, calibration errors and the number of Laue spots used for data treatment is investigated. Results in terms of the uncertainty of stress measurement are provided, and various error regimes are identified.