Second order code Page 1 of 4

Code for the estimation of Scaling Exponents

The Matlab (and C) routines available here allow the analysis of diverse scaling processes or time series, including Long-Range Dependent (LRD), Self-
Similar (SS), and Multiscaling (MS) processes such as Multifractals (MF). The methods are wavelet based and have been developed jointly with Patrice
Abry and colleagues. The routines are entirely self contained and do not require any special Matlab toolboxes, in particular the wavelet toolkit is not used.
On this page the analysis of second order scaling is given, whereas more general scaling is discussed on the MultiScaling page. As the second order
case is simpler and better known, some refinements are possible which are not available with the more general MS tools, which deal with the scaling
structure across moments of allorders.

Second Order Tools

The Matlab routines available here generate the Logscale Diagram, a wavelet analysis framework for scaling processes or time series, which in particular
allows the estimation of their key parameter, the scaling exponent. The two most important cases are: Long-Range Dependent (LRD), and Self-Similar
(SS) processes. Measurement of these, and other kinds of scaling, are implemented by exactly the same routines and procedure. The only difference is in
the final interpretation of the resulting estimate, as explained below. Note that only the second order Logscale Diagram, and therefore second order
statistics, are analysed by the routines here. Although these can be validly applied to any kind of scaling process, to examine the greater richness of
scaling of Multifractals and other MultiScaling processes, higher order moments must be analysed also (see the MultiScaling page).

The routines implement fully the wavelet based joint estimation of LRD described in detail in A wavelet based joint estimator for the parameters of LRD.
Further papers relating to the estimator and its use can be found on my homepage. In addition the special prefiltering required in the analysis of
intrinsically discrete time series (such as fGn and the well known fARIMA processes), without which errors are make on the analysis at small scales (full
paper), is integrated into the routines as an option.

In addition a robust routine is provided to enable the automatic selection of the lower cutoff scale of a scaling range, given the upper cutoff scale. The
fundamental issues involved in the definition and selection of such a scale is discussed in this book chapter and full details are in On the Automatic
Selection of the Onset of Scaling.

On a slightly more general note, a useful tool in the investigation of non-stationarity is also provided. It incorporates many of the wavelet tools and scaling
results such as LRD confidence intervals for mean estimates, and the statistical test for the constancy in time of scaling exponents, as described in the
extended writeup.

Finally, an On-Line version of the main estimation tool is also provided. This allows data to be `piped' into the wavelet filter bank, effectively allowing
wavelet analysis to be performed on data of arbitrary length.

This page is only intended to make the routines available and to give some basic instructions in their use and interpretation, not to provide detailed
documentation or a comprehensive software support service! News of any errors found however will be gratefully received. Note that quite comprehensive
comments are given at the beginning of each matlab file which answer most questions not covered below. Note that the routines are self contained and do
not require any special matlab toolboxes, in particular the wavelet toolkit is not used.

The Code
The tarred and gzip-ed Matlab code is here. For users who have downloaded a previous release and wish to obtain the new functions, it is strongly
recommended that the old versions be deleted and the entire set downloaded again, to ensure compatibility.

For Unix users, after downloading first perform:

> gunzip LDestimate_code.tar

to decompress the file, followed by

> tar -xvf LDestimate_code.tar

to unwrap the functions. A directory called "Secondorder" will be created inside "Wavelet_Estimation_Tools", containing 19 `file.m' matlab files, each with
a single Matlab function, and a single test data file, `fgn8.dat'. This data file, a row vector, is a sample path of fractional Gaussian noise generated by a
spectral method, with H=0.8 (alpha = 0.6). Its analysis by "LDestimate" appears in the figures below.

The on-line code is written in C and is entirely independent from the Matlab code. It was developed by Matthew Roughan, Alex Stiessel and Darryl Veitch.
After unpacking a subdirectory "On-Line" will appear inside "Wavelet_Estimation_Tools" with 6 files.

For windows users, try using winzip to unpack the files.

Copyright, conditions of use

The code is made freely available for non-commercial use only, specifically for research and teaching purposes, provided that the copyright headers at the
head of each file are not removed, and suitable citation is made in published work using the routine(s). No responsibility is taken for any errors in the code.
The headers in the files contain copyright dates and authors on an individual basis. In addition there is a copyright on the collection as made available
here, dated 3 June 2001.

Theoretical Notes
LRD:

The definition of LRD we use is the divergence of the spectrum at the origin of a stationary stochastic process with finite second moments: f(v) ~ cf
|v|^(-alpha), v -> 0 . In this definition there are two parameters: (alpha,cf). Alpha is the dimensionless scaling exponent, and is the most important
parameter describing the qualitative nature of the scaling. cf has the dimensions of variance and describes the quantitative aspects, or `size' of the
LRD. As an example of the importance of cf, confidence intervals of mean estimates of LRD data are essentially proportional to the square root of cf!

For particular families of processes there may be fixed relationships between alpha, cf, and other quantities, for instance the variance of the process,
however in principle these parameters are all independent and for empirical data must be estimated as such.

Alpha takes values in [0,1). For our purposes here a short range dependent process is simply a stationary process which is not long range
dependent. Such a process has alpha=0 at large scales, corresponding to white noise at scales beyond the characteristic scale(s). (note however
that this definition is inadequate for processes with negative alpha, such as fGn with H<1/2, which are not LRD but are not `classical SRD' either).

The estimator is semi-parametric, so prior to estimation an analysis phase is necessary to determine the lower cutoff scale at which the LRD
`begins', and to see if LRD is present at all. To do this one looks for alignment in the Logscale Diagram, an example is given below for the test data
set supplied. The Logscale Diagram is essentially a log-log plot of variance estimates of the wavelet details at each scale, against scale, complete
with confidence intervals about these estimates at each scale. It can be thought of as a spectral estimator where large scale corresponds to low
frequency. The functions provided generate the Logscale Diagram and allow different scaling ranges to be tried. Details of the reading of Logscale
Diagrams can be found in this review chapter, though some details are given below.

Cf takes positive real values. LRD implies that the sum over all correlations is large (in fact infinite), but individually their sizes at large lag is
controlled by cf, and can be arbitrarily small. The value of cf therefore has a large impact. For example, confidence intervals around mean estimates
of LRD data are essentially proportional to the square root of cf.

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Self-Similarity (SS)

Exact Self-Similarity is a very strong statistical scale invariance property that holds for all of the distributions and moments of the process, not just
the second order properties. More precisely, the statistics of the process X are equivalent to those of a^(-H) X(at), a>0 . All self similar processes are
non-stationary. The Hurst parameter H is the scaling parameter of self-similarity.

The comments above on the use of the Logscale Diagram for LRD processes hold true for SS processes. The only difference is that to obtain H, the
slope alpha must be transformed as H= (alpha+1)/2, as described in more detail below.

Note: Although strictly speaking the Hurst parameter characterises exactly self-similar processes (H-SS processes), it is often also used to describe
the LRD of the `derivatives' of such processes. For example Fractional Brownian Motion is a H-SS process which has stationary increments, but is
not itself stationary. Its increment process is the stationary Fractional Gaussian Noise (fGn) which is LRD with alpha=2H-1. It is common practice
however to label fGn by the H from the FBM from which it came. By extension `Hurst parameter values' of LRD processes are often quoted. Care
should be taken to avoid confusion, and we recommend that H be reserved for H-SS processes only. See the note on this below concerning the
output of "LDestimate".

Initialisation for discrete time series

The Discrete Wavelet Transform on which the routines here are based, like the continuous wavelet transform, is defined on continuous time data
only. Nonetheless, it has become common practice to use the DWT to analyse discrete time data! without asking what this might mean or what
errors may be incurred.

It is however possible to use the DWT to study the second order properties of discrete series directly in a rigorous way. The practical step needed is
an initial discrete prefiltering of the data to obtain the correct approximation sequence which initialises the fast recursive algorithm calculating the
DWT.

The errors due to not initialising are concentrated on the first two octaves. Thus for LRD series, one does not normally need to perform it, except for
nearly perfect scaling processes such as fGn and fARIMA0d0.

Automatic selection of lower cutoff scale

The range of scales (j1,j2) over which a scaling phenomenon exists varies. For LRD j2 is infinite, but j1, where the LRD `begins', must be chosen,
and for SS processes j1=-infty and j2 is infinite. `Fractal processes', dealing with fine time structure, could have j2 finite but j1 = -infinity.

In practice, there are always limits on the range: the data only has a finite length, limiting j2, and j1 corresponds to the finest resolution which is
conventionally set to j=0 for the series, and thus j=1 for the finest wavelet detail coefficients series.

Because of the dyadic nature of the wavelet basis, there are ~ half as many points at scale j+1 than there were at the finer scale j, thus, confidence
intervals in the LD increase by ~root 2 for each increase in j (see figure). Thus in the weighted regression, far higher weight is given to the smaller
scales. One outcome of this is that if one chooses a j1 which is too small, any reasonable goodness of fit measure will plummet.

Thus a graph of Q(j1), the goodness of fit measure with j2 fixed, against j1, shows huge improvements as j1 increases, until the alignment region is
reached, when it stabilises, as can be seen below for the data set provided. This can be used as the basis of selecting the optimal j1 value, j1*.

Even if the goodness of fit measure is based on Gaussianity, the method is robust as it is based on this `huge improvement' phenomenon.

Stationarity

The tool is concerned with second order or `wide sense' stationarity, that is it examines only first and second order statistics.

The basic approach is to split the data into m equally spaced blocks. Over each block some or all of the following quantities are examined: Mean,
Variance, alpha, cf.

The first nice feature is the confidence intervals on the mean estimates: theoretical asymptotic CI's are displayed based both on IID assumptions
(blue), and LRD assumptions (red). The latter are often far larger, as they decrease at a slower rate than 1/n .

The LRD confidence interval is a function of both alpha and cf, and both are calculated for the block in question, provided alpha is in the range (0,1)
of LRD: otherwise the LRD CI's don't apply and are set equal to the IID ones.

The other feature is the incorporation of the test for the constancy of alpha, described in detail here.
 This test relies on several advantageous properties of the estimator, namely: that estimates are nearly unbiased, Gaussian, and with a known
variance, and that correlations between estimates over adjacent blocks are very low. Such a simple situation leads to a relatively simple
inference problem for which the optimal test (Uniformly Most Powerful Invariant test) is known.
 The test assumes that over each block the estimate means something, and also that the estimates are made over a common scaling range
(otherwise the scaling would be different, even if the exponent values were the same...). Thus m must be large enough to resolve any
variations in alpha that may be present.
 If m is too large, the CI's will become so large that the test will always accept the null hypothesis- the power has become too low. Also, too
large an m means that the scales over which the scaling exists are no longer present, for example this can occur with LRD as the largest
scales are lost.
Thus in practice an experimental procedure must be followed which involves combining test results for different m values, see the document
for details.

Example: LDestimate output for the test data set, a sample path of fractional Gaussian Noise with Hurst parameter of H=0.8, analysed with the call:
LDestimate(fgn8,3,2,9,1,1,1). The slope of the straight line (red) over the range of scales selected, using weighted regression, yields an accurate
estimate for the LRD exponent. In the left hand plot, we see the goodness of fit statistic Q(j1) as a function of j1 improve dramatically at j1=2, this is
thereby recommended as the beginning of the scaling region.

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Notes for use

Overview

The main function is "LDestimate" (LD for Logscale Diagram), the other functions support it. "LDestimate" calls "initDWT_discrete" if requested to perform
the initialisation for discrete data, then "wtspec" which performs the discrete wavelet decomposition (DWT) using Daubechies wavelets and estimates the
variance of the wavelet details at each scale (until there are no points left), and finally performs the weighted regression through a call to "regrescomp"
leading to the estimates and the plotting of the Logscale Diagram itself. Notes on the parameters needed for "LDestimate", and of the details of the output,
can be found in the comment block at the beginning of the file LDestimate.m . Examples of use are also given. Wavelet and pre-filter coefficients for
Daubechies wavelets Daubechies1 (Haar) to Daubechies10 are supplied.

Scale Parameter Estimation: LDestimate.m

Different kinds of scaling are possible, however the analysis procedure is the same in each case. First the Logscale Diagram is generated, and
examined to find a lower cutoff scale j1, and upper cutoff j2, where alignment (a straight line) is observed. These cutoffs should be experimented
with to find a range where the regression fits the confidence intervals plotted on the Logscale Diagram well. (Initial values must be given in the
argument list to "LDestimate", but these can then be changed interactively.)

For each alignment range chosen, the function outputs the estimate of the slope `alpha', which takes real values. The value of alpha, and the range
(j1,j2), help determine which kind of scaling is present, for example a value in (0,1) with alignment at large scales suggests LRD. (For LRD of course
j2 should always be the largest available given the length of data, though this may not be seen in real data.) On the other hand alignment at all (or
almost all) scales with alpha>1 suggest SS.

For convenience, alpha is transformed into values of related parameters, such as the Hurst parameter H, or the fractal dimension of the sample path
(valid only if Gaussian) D. It is up to the user to determine which kind of scaling is present, and therefore which parameter is appropriate. For
example D makes no sense unless alpha is in (1,3), and H (the self-similarity parameter) makes no sense if alpha<1 .

NOTE: in the case of LRD, alpha is the relevant parameter directly, however this is sometimes rewritten as an 'H', but this H is not the H of strict self-
similarity, it is merely a convention to rewrite alpha in this way for LRD processes! Both `H' s are outputted, they are always different.

Experimentation with the number of vanishing moments N of the wavelet is first needed to (a) ensure that the wavelet details are well defined (as H
increases higher values will be needed to ensure this, N=1 is sufficient for LRD), and (b) eliminate or decrease the influence of deterministic trends
(such as linear trends or mean level variations) which may be present (see here and here). In either case one increases N until a stable Logscale
Diagram is seen.

A warning: an advantage of the wavelet method is that estimates at different scales are almost decorrelated from each other. Hence, in the Logscale
Diagram they will be seen to varying considerably about the regression line (particularly for small alpha due to the automatic rescaling of the plot).
This variation is natural and desirable and should not interpreted as a lack of alignment.

A goodness of fit statistic `Q' is outputted to help with the choice of scaling range, and is plotted in the title. Q is the probability of observing the data
given that the expectations of the variance estimates at each scale really do follow the defining linear form of linear regression. A value greater than
say 0.05 is acceptable. Judgement by eye of the alignment region (scaling range) is difficult, as the confidence intervals become very small at small
scales- the statistic Q is a better guide.

If the data is highly non-Gaussian then the confidence intervals both for the points in the Logscale Diagram and for the final estimates may be quite
a bit smaller than they should be. The Q value will also then be ridiculously small, like 0.0000001 or worse! In this case one shouldn't take the
confidence intervals literally, and the Q values can only be used in a relative way- to compare different choices of scaling range. This can also be
done effectively using the choosej1 function described below, which is robust to departures from Gaussianity.

On-Line C code: LDestimate.c

The on-line code has very little documentation at present. After unpacking the functions, just type

make

to compile (with gcc) the top level function LDestimate. To run it on the test data, on a Unix system one can simply pipe it in:

LDestimate < fgn8.dat

Currently all of the input parameters are hardwired, but the program could easily be modified to read them more conveniently. Nothing is currently
plotted, but the output could be trapped and stored with little effort. A future version will provide greater functionality.

Correct Initialisation for discrete data: initDWT_discrete.m

The third last argument to "LDestimate" should be 1 if the initialisation for discrete series is desired. For example this should be used when
analysing the fgn8.dat test series supplied.

Pre-filtering always results in an effective loss of data, due to 'edge effects'. Currently the length of the filter used is chosen automatically by the
following rule: All of the stored filter is used, except that the filter is truncated if necessary to ensure that no more than one eigth of the data is lost. A
filter length can be chosen directly if desired by changing the "filterlength" variable in the call to "initDWT_discrete" in "LDestimate", however this will
not be necessary if the data set is very long- the optimal filter length is likely to be longer than the longest available and the automated choice will
correctly use the entire stored filter.

The filters have been precalculated for Daubechies wavelets 1 to 10, and are stored in the function initfilterDaub_DWT_discrete.m .

Automatic lower scale chooser: newchoosej1.m

The function "newchoosej1" takes the information of a LD and calculates the goodness of fit Q(j1) values, then passes them to "method6" which
applied the heuristic to return the optimal value j1* .

A vector of j2 values can be inputted, j1* values for each are returned.

It is convenient and natural to call "newchoosej1" from within "LDestimate", so the latter has an input parameter to allow this if desired, But either
way the j1* is not actually used in the LD calculated by "LDestimate". The vector (one per j2 value selected) of j1* values is conveniently returned by
"LDestimate".

The vector of j2 values can be changed by editing the call to "newchoosej1" in "LDestimate", the function is 'shipped' with j2 set to the largest
possible, corresponding to LRD, as in the figure above. Other examples are there, commented out, including one which covers all possible j2
values- however this takes a little longer to run.

Stationarity Tool: eda_staty.m (incorporating the constancy test for alpha)

The basic approach is to split the data into m equally spaced blocks. Over each block some or all of the following quantities are examined: Mean,
Variance, alpha, cf, and the time series itself can be displayed, each selected by a logical input variable. See the comments in the head of the file.

For each statistic selected, at the far left of the plot the sample value and CI is given calculated over the ENtire series.

If alpha is selected, the constancy test is automatically applied, and the outcome, as well as the critical level corresponding to the data, expressed
as a percentage (100*(1-significance level of data)), is plotted over the graph.

An internal variable "wantH" can be changed to set the scaling exponent output from being expressed as alpha, to H, the Hurst parameter of the

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corresponding integrated process (alpha = 2H -1).

Similarly to "LDestimate", the input variable "discrete_init" can be set to allow the special initialisation for discrete series to be performed.

To save time and memory, long time series are thinned before display.

Last modified: May 18 15:33:41 2007

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