Multivariate multifractal analysis Article - Mai 2019

Stéphane Jaffard, Stephane Seuret, Herwig Wendt, Roberto Leonarduzzi, Stéphane Roux, Patrice Abry

Stéphane Jaffard, Stephane Seuret, Herwig Wendt, Roberto Leonarduzzi, Stéphane Roux, Patrice Abry, « Multivariate multifractal analysis  », Applied and Computational Harmonic Analysis, mai 2019, pp. 653-663. ISSN 1063-5203

Abstract

We show how a joint multifractal analysis of a collection of signals unravels correlations between the locations of their pointwise singularities. The multivariate multifractal formalism, reformulated in the general setting supplied by multireso-lution quantities, provides a framework which allows to estimate joint multifractal spectra. General results on joint multifractal spectra are derived, and illustrated by the theoretical derivation and practical estimation of the joint multifractal spectra of simple mathematical models, including correlated binomial cascades.

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