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基于双树复小波变换的非平稳时间序列去趋势波动分析方法

杜文辽 陶建峰 巩晓赟 贡亮 刘成良

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基于双树复小波变换的非平稳时间序列去趋势波动分析方法

杜文辽, 陶建峰, 巩晓赟, 贡亮, 刘成良

Dual-tree complex wavelet transform based multifractal detrended fluctuation analysis for nonstationary time series

Du Wen-Liao, Tao Jian-Feng, Gong Xiao-Yun, Gong Liang, Liu Cheng-Liang
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  • 多重分形去趋势波动分析是研究非平稳时间序列非均匀性和奇异性的有效工具, 针对该方法中趋势项难以确定的问题, 提出一种基于双树复小波变换的方法, 实现了非平稳信号的多重分形自适应去趋势波动分析. 利用双树复小波变换提取信号的多尺度趋势和波动信息, 通过小波系数的希尔伯特变换确定每个时间尺度不重叠子区间的长度, 使多重分形分析具有信号自适应性及较高的计算效率. 以具有解析形式分形特征的倍增级联信号和分数布朗运动时间序列为例验证本文方法的有效性, 所得结果与解析解相吻合. 与传统的多项式去趋势多重分形方法相比, 本文方法根据信号自身特点自适应地确定信号的趋势和不重叠等长度子区间长度, 所得结果更加精确. 对倍增级联信号时间序列取不同的长度, 验证了算法的稳定性. 分别与基于极大重叠离散小波变换和离散小波变换多重分形方法进行比较, 表明本文方法具有更精确的结果和更快的运算速度.
    Multifractal detrended fluctuation analysis is an effective tool for dealing with the non-uniformity and singularity of nonstationary time series. For the serious issues of the trend extraction and the inefficient computation in the traditional polynomial fitting based multifractal detrended fluctuation analysis, based on the dual-tree complex wavelet transform, a novel multifractal analysis is proposed. To begin with, as the dual-tree complex wavelet transform has the anti-aliasing and nearly shift-invariance, it is first utilized to decompose the signal through the pyramid algorithm, and the scale-dependent trends and the fluctuations are extracted from the wavelet coefficients. Then, using the wavelet coefficients, the length of the non-overlapping segment on a corresponding time scale is computed through the Hilbert transform, and each of the extracted fluctuations is divided into a series of non-overlapping segments whose sizes are identical. Next, on each scale, the detrended fluctuation function for each segment is calculated, and the overall fluctuation function can be obtained by averaging all segments with different orders. Finally, the generalized Hurst index and scaling exponent spectrum are determined from the logarithmic relations between the overall detrended fluctuation function and the time scale and the standard partition function, respectively, and then the multifractal singularity spectrum is calculated with the help of Legendre transform. We assess the performance of the dual-tree-complex wavelet transform based multifractal detrended fluctuation analysis (MFDFA) procedure through the classic multiplicative cascading process and the fractional Brownian motions, which have the theoretical fractal measures. For the multiplicative cascading process, compared with the traditional polynomial fitting based MFDFA methods, the proposed multifractal approach defines the trends and the length of non-overlapping segments adaptively and obtains a more precise result, while for the traditional MFDFA method, for the negative orders, no matter the generalized Hurst index, scaling exponents spectrum, or the multifractal singularity spectrum, the acquired results each have a significant deviation from the theoretical one. For the time series with different sizes, the proposed method can also give a stable result. Compared with the other adaptive method such as maximal overlap discrete wavelet transform based MFDFA and the discrete wavelet transfrom based MFDFA, the proposed approach obtains a very accurate result and has a fast calculation speed. For another time series of fractional Brownian motions with different Hurst indexes of 0.4, 0.5 and 0.6, which represent the anticorrelated, uncorrelated, correlated process, respectively, the results of the proposed method are consistent with those analytical results, while the results of the polynomial fitting based MFDFA methods are most greatly affected by the order of the fitting polynomial. The method in this article provides a valuable reference for how to use the dual-tree complex wavelet transform to realize the multifractal detrended fluctuation analysis, and we can benefit from the signal self-adaptive trend extraction and the high computation efficiency.
      通信作者: 杜文辽, dwenliao@zzuli.edu.cn
    • 基金项目: 国家自然科学基金青年科学基金(批准号: 51205371, 51405453, 11202125)、国家科技支撑计划 (批准号: 2015BAF32B04, 2014BAD08B00)和郑州轻工业学院博士启动基金(批准号: 2013BSJJ033)资助的课题.
      Corresponding author: Du Wen-Liao, dwenliao@zzuli.edu.cn
    • Funds: Project supported by the Young Scientists Fund of the National Nature Science Foundation of China (Grant Nos. 51205371, 51405453, 11202125), the National Key Technology Research and Development Program of China (Grant Nos. 2015BAF32B04, 2014BAD08B00), and the Doctoral Starting up Foundation of Zhengzhou University of Light Industry, China (Grant No. 2013BSJJ033).
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    Loiseau P, Mdigue C, Gonalves P, Attia N, Seuret S, Cottin F, Chemla D, Sorine M, Barral J 2012 Physica A 391 5658

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    [19]

    Peng Z K, Tse P W, Chu F L 2005 Mech. Syst. Signal. Pr. 19 974

    [20]

    Muzy J, Bacry E, Arneodo A 1991 Phys. Rev. Lett. 67 3515

    [21]

    Manimaran P, Panigrahi P K, Parikh J C 2009 Physica A 388 2306

    [22]

    Liang Z, Li D, Ouyang G, Wang Y, Voss L J, Sleigh J W, Li X 2012 Clin. Neurophysiol. 123 681

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    Selesnick I W, Baraniuk R G, Kingsbury N G 2005 IEEE Signal Proc. Mag. 22 123

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    Nelson J, Kingsbury N 2012 IET Signal Process. 6 484

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    Nafornita C, Isar A, Nelson J D B 2014 Proceedings of the 2014 IEEE International Conference on Image Processing New York, USA, January 28, 2014 p2689

    [26]

    Macek W M, Wawrzaszek A 2011 Nonlinear Proc. Geoph. 18 287

    [27]

    Cheng Q 2012 Nonlinear Proc. Geoph. 19 57

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    Sezer A 2012 Sci. Iran. 19 1456

    [29]

    Cao G, Xu W 2016 Physica A 444 505

    [30]

    Arshad S, Rizvi S A R 2015 Physica A 419 158

    [31]

    Sun K, Jin G, Wang C Y, Ma C W, Qian W P, Gao M G 2015 J. Electr. Inform. Technol. 37 982 (in Chinese) [孙康, 金钢, 王超宇,马超伟,钱卫平,高梅国 2015 电子与信息学报 37 982]

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    Lin P L, Huang P W, Lee C H, Wu M T 2013 Pattern Recogn. 46 3279

  • [1]

    Ni H J, Zhou L P, Zeng P, Huang X L, Liu H X, Ning X B 2015 Chin. Phys. B 24 070502

    [2]

    Muzy J F, Bacry E, Arneodo A 1993 Phys. Rev. E 47 875

    [3]

    Wang D L, Yu Z G, Anh V 2012 Chin. Phys. B 21 080504

    [4]

    Caraiani P 2012 Physica A 391 3629

    [5]

    Lin J S, Chen Q 2013 Mech. Syst. Signal. Pr. 38 515

    [6]

    Xiao H, L Y, Wang T 2015 J. Vib. Eng. 28 331 (in Chinese) [肖涵, 吕勇, 王涛 2015 振动工程学报 28 331]

    [7]

    Xiong J, Chen S K, Wei W, Liu S, Guan W 2014 Acta Phys. Sin. 63 200504 (in Chinese) [熊杰,陈绍宽,韦伟,刘爽,关伟 2014 物理学报 63 200504]

    [8]

    Liu N B, Guan J, Song J, Huang Y, He Y 2013 Sci. China: Inform. Sci. 43 768 (in Chinese) [刘宁波, 关键, 宋杰, 黄勇, 何友 2013 中国科学: 信息科学 43 768]

    [9]

    Xing H Y, Zhang Q, Xu W 2015 Acta Phys. Sin. 64 110502 (in Chinese) [行鸿彦, 张强, 徐伟 2015 物理学报 64 110502]

    [10]

    Zhou Y, Leung Y 2010 J. Stat. Mech-Theory E. 2010 P12006

    [11]

    Lin M, Yan S X, Zhao G, Wang G 2013 Commun. Theor. Phys. 59 1

    [12]

    Telesca L, Matcharashvili T, Chelidze T, Zhukova N, Javakhishvili Z 2013 Nat. Hazards 77 117

    [13]

    Loiseau P, Mdigue C, Gonalves P, Attia N, Seuret S, Cottin F, Chemla D, Sorine M, Barral J 2012 Physica A 391 5658

    [14]

    Lafouti M, Ghoranneviss M 2015 Chin. Phys. Lett. 32 105201

    [15]

    Xi C P, Zhang S N, Xiong G, Zhao H C 2015 Acta Phys. Sin. 64 136403 (in Chinese) [奚彩萍, 张淑宁, 熊刚, 赵惠昌 2015 物理学报 64 136403]

    [16]

    Qian X Y, Gu G F, Zhou W X 2011 Physica A 390 4388

    [17]

    Zhou J, Manor B, Liu D, Hu K, Zhang J, Fang J 2013 Plos One 8 e62585

    [18]

    Guo T, Lan J L, Huang W W, Zhang Z 2013 J. Commun. 34 38 (in Chinese) [郭通,兰巨龙,黄万伟,张震 2013 通信学报 34 38]

    [19]

    Peng Z K, Tse P W, Chu F L 2005 Mech. Syst. Signal. Pr. 19 974

    [20]

    Muzy J, Bacry E, Arneodo A 1991 Phys. Rev. Lett. 67 3515

    [21]

    Manimaran P, Panigrahi P K, Parikh J C 2009 Physica A 388 2306

    [22]

    Liang Z, Li D, Ouyang G, Wang Y, Voss L J, Sleigh J W, Li X 2012 Clin. Neurophysiol. 123 681

    [23]

    Selesnick I W, Baraniuk R G, Kingsbury N G 2005 IEEE Signal Proc. Mag. 22 123

    [24]

    Nelson J, Kingsbury N 2012 IET Signal Process. 6 484

    [25]

    Nafornita C, Isar A, Nelson J D B 2014 Proceedings of the 2014 IEEE International Conference on Image Processing New York, USA, January 28, 2014 p2689

    [26]

    Macek W M, Wawrzaszek A 2011 Nonlinear Proc. Geoph. 18 287

    [27]

    Cheng Q 2012 Nonlinear Proc. Geoph. 19 57

    [28]

    Sezer A 2012 Sci. Iran. 19 1456

    [29]

    Cao G, Xu W 2016 Physica A 444 505

    [30]

    Arshad S, Rizvi S A R 2015 Physica A 419 158

    [31]

    Sun K, Jin G, Wang C Y, Ma C W, Qian W P, Gao M G 2015 J. Electr. Inform. Technol. 37 982 (in Chinese) [孙康, 金钢, 王超宇,马超伟,钱卫平,高梅国 2015 电子与信息学报 37 982]

    [32]

    Lin P L, Huang P W, Lee C H, Wu M T 2013 Pattern Recogn. 46 3279

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出版历程
  • 收稿日期:  2015-11-17
  • 修回日期:  2016-01-21
  • 刊出日期:  2016-05-05

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