EFFECT OF LINEAR AND NONLINEAR FILTERS ON MULTIFRACTAL DETRENDED CROSS-CORRELATION ANALYSIS
Abstract
When probing the dynamical properties of complex systems, such as physical and physiological systems, the output signal may be not the expected one. It is often a linear or nonlinear filter (or a transformation) of the right one represented the properties we want to investigate. Besides, for a multiple-component system, it is necessary to consider the relations between different influence factors. Here, we investigate what effect kinds of linear and nonlinear filters have on the cross-correlation properties of monofractal series and binomial multifractal series relatively. We use the multifractal detrended cross-correlation analysis (MFDCCA) that has been known well for its accurate quantization of cross-correlations between two time series. We study the effect of five filters: (i) linear (yi = axi + b); (ii) polynomial 
; (iii) logarithmic (yi = log(xi + δ)); (iv) exponential (yi = exp(axi + b)); and (v) power-law (yi = (xi + a)b). We find that for both monofractal and multifractal signals, linear filters have no effect on the cross-correlation properties while the influence of polynomial, logarithmic and power-law filters mainly depends on (a) the strength of cross-correlations in the original series; (b) the parameter b of the polynomial filter; (c) the offset δ in the logarithmic filter; and (d) both the parameter a and b of the power-law filter. In addition, the parameter a and b of the exponential filter change the cross-correlation properties of monofractal signal, yet they have little influence on that of multifractal signal.
