$Effect of nonlinear correlations on the statistics of return intervals in multifractal data sets$

Effect of nonlinear correlations on the statistics of return intervals in multifractal data sets

We study the statistics of return intervals between events above a certain threshold in multifractal data sets without linear correlations. We find that nonlinear correlations in the record lead to a power-law (i) decay of the autocorrelation function of the return intervals, (ii) increase in the co...

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Veröffentlicht in:	Physical review letters 2007-12, Vol.99 (24), p.240601-240601, Article 240601
Hauptverfasser:	Bogachev, Mikhail I, Eichner, Jan F, Bunde, Armin
Format:	Artikel
Sprache:	eng
Online-Zugang:	Volltext
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