A fast DFA algorithm for multifractal multiscale analysis of physiological time series

Abstract

Detrended fluctuation analysis (DFA) is a popular tool in physiological and medical studies for estimating the self-similarity coefficient, α, of time series. Recent researches extended its use for evaluating multifractality (where α is a function of the multifractal parameter q) at different scales n. In this way, the multifractal-multiscale DFA provides a bidimensional surface α(q,n) to quantify the level of multifractality at each scale separately. We recently showed that scale resolution and estimation variability of α(q,n) can be improved at each scale n by splitting the series into maximally overlapped blocks. This, however, increases the computational load making DFA estimations unfeasible in most applications. Our aim is to provide a DFA algorithm sufficiently fast to evaluate the multifractal DFA with maximally overlapped blocks even on long time series, as usually recorded in physiological or clinical settings, therefore improving the quality of the α(q,n) estimate. For this aim, we revise the analytic formulas for multifractal DFA with first- and second-order detrending polynomials (i.e., DFA1 and DFA2) and propose a faster algorithm than the currently available codes. Applying it on synthesized fractal/multifractal series we demonstrate its numerical stability and a computational time about 1% that required by traditional codes. Analyzing long physiological signals (heart-rate tachograms from a 24-h Holter recording and electroencephalographic traces from a sleep study), we illustrate its capability to provide high-resolution α(q,n) surfaces that better describe the multifractal/multiscale properties of time series in physiology. The proposed fast algorithm might, therefore, make it easier deriving richer information on the complex dynamics of clinical signals, possibly improving risk stratification or the assessment of medical interventions and rehabilitation protocols.