Using multiplicative cascade models and q-Gaussian reshaped series, the authors show temporal correlations alone produce multifractality and propose the Gaussian distribution as the baseline for isolating the extra spectrum width caused by heavy tails.
In Mathematics of Complexity and Dy- namical Systems; Meyers, R.A., Ed.; Springer New York: New York, NY, 2011; pp
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Disentangling sources of multifractality in time series
Using multiplicative cascade models and q-Gaussian reshaped series, the authors show temporal correlations alone produce multifractality and propose the Gaussian distribution as the baseline for isolating the extra spectrum width caused by heavy tails.