Comparison of MFDFA and Chhabra-Jensen Method on Multifractal and Monofractal Data

Researchers of different fields attempt to characterize time series in complex systems. In this comparative study, the behaviour of two well-known complexity methods called multifractal detrended fluctuation analysis (MFDFA) and Chhabra-Jensen (CJ) method was investigated. The results showed that the width of the singularity spectrum, as the main factor of complexity, for both deterministic and stochastic binomial data could be properly estimated by MFDFA and the CJ method. The symmetric assumption about the singularity spectrum of stochastic binomial data was reflected by both methods, for deterministic data, it was more closely followed by the CJ method. Moreover, the results indicated CJ cannot track the singularity spectrum of monofractal data properly as compared with MFDFA.