ARTICLE IN PRESS

Physica A 381 (2007) 383–398

www.elsevier.com/locate/physa

An algorithm for the characterization of time-series

based on local regularity
S.J. Loutridis
Technological Educational Institute of Larissa, School of Technological Applications, Department of Electrical Engineering,
Sensors and Instrumentation Laboratory, GR 41 110 Larissa, Greece
Received 6 June 2006; received in revised form 1 March 2007
Available online 18 March 2007

Abstract

The pointwise Holder exponent describes the local regularity of a function. This description is particularly applicable to
complex time-series representing natural phenomena that exhibit statistical self-similarity, where the scaling exponent
fluctuates from point to point. In this work, an algorithm is proposed for the estimation of both global and local scaling
exponents of time-series. The technique is based on scaled window variance method and its practical implementation relies
on the convolution operation. The proposed algorithm is an attractive alternative to existing techniques because of its
simplicity and computational efficiency. The accuracy of the algorithm is verified by application on synthetic signals with a
prescribed time evolution of Holder exponents. Case studies are presented in the fields of fluid dynamics, room acoustics
and machinery diagnostics.
r 2007 Elsevier B.V. All rights reserved.

Keywords: Pointwise Holder exponent; Detrended fluctuation analysis; Multifractals

1. Introduction

Many natural phenomena have been shown to exhibit statistical self-similarity. Mandelbrot [1] introduced
the concept of fractals for objects that show an irregular and similar structure irrespective of scale. Fractal
models have been used in many scientific disciplines, such as, biology, geophysics, astronomy and
econometrics. A simple fractal, or else a monofractal, is characterized by a parameter H known as the
Hurst exponent [2]. The Hurst exponent ranges between 0 and 1 and describes persistence in a time-series. The
persistence measures correlations between adjacent values within the time series. A useful model often used for
some types of time-series is fractional Brownian motion (fBm). The regularity of fBm increases with the value
of the Hurst exponent.
The modeling of time-series based on fBm can be too restrictive in some cases and especially when
considering highly intermittent signals. Most real time-series are better described by a range of exponents. The
multifractal formalism is an expanded theory for the description of more complex type of signals, which

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E-mail address: loutridi@teilar.gr.

0378-4371/$ - see front matter r 2007 Elsevier B.V. All rights reserved.
doi:10.1016/j.physa.2007.03.012
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potentially contain an infinite number of scaling exponents. In these types of signals H is allowed to vary
with time. Examples include turbulence [3], heartbeat dynamics [4], human gait [5], natural images [6]
econometrics [7]. There are two basic means of examining the structure of a multifractal signal. One
assumes a statistical description of singularities found in the signal provided by the singularity spectrum.
The singularity spectrum can be estimated with several ‘‘global’’ methods. A comparison of a number
of global methods is given in Leven et al. [8]. The most popular global method is based on the wavelet
transform modulus maxima lines formalism [9]. A different approach is provided by ‘‘local’’ techniques.
In these methods the variation of exponents from point to point is examined. A number of algorithms
have been proposed for the estimation of local exponents. Struzik [10] proposed a method based on wavelet
transform maxima lines. In Ref. [10] singularities have been modeled as if they were created through a
multiplicative cascading process. Seuret et al. [11], improved upon the previous method by providing
an algorithm able to handle both non-oscillating and oscillating types of singularities. Ayache et al. [12],
provided two algorithms for the estimation of the pointwise Holder exponent of time-series based on a
generalized multifractional Brownian motion model. Crowell [13], in his attempt to model software aging,
proposed an algorithm that estimates local Holder exponents from weighted logarithmic differences of
adjacent points. It should be noted that the Holder exponent estimation procedure based on wavelet transform
is cumbersome. Other simpler estimates, such as those proposed in Ref. [13], do not provide any means of
selecting the range of scales where scaling behavior is observed. This is a serious drawback when considering
real time-series.
In this work, an algorithm is provided able to estimate both local and global exponents with good
accuracy. The proposed scheme is based on scaled window variance methods, but is introduced with a
more general and elegant formalism. Further, the algorithm is specifically proposed as a means for
examining the local structure of time-series with little added effort. The point of view adopted is that of a
practitioner who needs a robust tool for data analysis, without worrying much about subtle theoretical
considerations.
The paper is organized as follows: In Section 2, a brief theoretical background for the Holder exponent is
given. In Section 3, the algorithm routine is detailed. The accuracy of the algorithm on the estimation of
both local and global exponents is examined in Section 4. A number of applications on real data is given in
Section 5. Finally, the paper main conclusions are presented.

2. Holder exponent

The Holder exponent provides information about the regularity of a function. The Holder exponent
describes how the difference of a function f ðtÞ with its shifted version f ðt þ DtÞ varies according to a power-law
expression

jf ðt þ DtÞ  f ðtÞjpCDta , (1)

where a the Holder exponent and C a constant. The exponent can be defined locally at a point t ¼ t0 , or
globally on an interval ½a; b meaning that the inequality has to hold for all t 2 ½a; b. For a41 it is possible to
define the derivative of f ðtÞ as
df ðtÞ f ðt þ DtÞ  f ðtÞ
¼ lim . (2)
dt Dt!0 Dt
Differentiability is of course related to the function’s smoothness. The function can then be interpolated with a
straight line between two closely spaced points, or if the function is n times differentiable it can be interpolated
with a polynomial of order n. This is the well-known Taylor series expansion. Now, consider the case where
noaon þ 1 is not an integer. It is obvious that the function is n times differentiable, but not n þ 1 times
differentiable. The Holder exponent, thus provides a more accurate description of the function’s regularity
than that provided by derivatives. A definition for the Holder exponent of a function follows. A function f ðtÞ
is pointwise Holder a at point t ¼ t0 if there exists a constant C40 and a polynomial Pn of degree n ¼ int½a
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such that
jf ðtÞ  Pn ðtÞjpCjt  t0 ja . (3)
For fractal functions 0oao1 and Pn ðtÞ ¼ f ðt0 Þ and Eq. (3) becomes
jf ðtÞ  f ðt0 ÞjpCjt  t0 ja . (4)
As an example consider realizations of fBm which are singular everywhere. The fBm of Hurst exponent H
satisfy [14]
jBH ðt  DtÞ  BH ðtÞj / jDtjH , (5)
from which we conclude that for monofractal signals the Holder exponent is equal to the Hurst exponent.
For multifractal signals, i.e., non-homogenous fractals, the Holder exponent a and Hurst exponent H
may differ. A local description, or a statistical description of singularities for these types of signals is
preferable.

3. An algorithm for estimating the pointwise Holder exponent

Scaling exponents of time-series can be estimated with a number of methods that include spectral analysis
[15], rescaled range analysis [2], wavelet transform variance [16] and scaled window variance [17]. The
detrended fluctuation analysis (DFA) [18] is a popular variation of the scaled window variance method and
because of its simplicity and good performance has been adopted in a great many number of studies.
According to the DFA scheme the time-series of length N is divided into r ¼ intðN=sÞ non-overlapping
segments of s points each. For the samples in each window a linear regression is computed and subsequently
subtracted from the time-series samples. This way all segments are detrended. For each segment the standard
deviation is computed. Then the average standard deviation is obtained from all windows. The process is
repeated for all scales of interest. The scaling exponent is obtained as the slope of the best linear fit when
plotting logðF ðsÞÞ versus logðsÞ. The DFA method is in general sensitive to the way detrending is implemented.
Detrending can be done with polynomials instead of lines. An adaptive detrending scheme using a moving
average was proposed by Alessio et al. [19]. A more in depth study is presented in Ref. [20] by Xu et al. The
problem with moving averages is that they result in a delayed trend, with delay increasing with scale. Edge
effects are also a problem especially for short time-series.
As an alternative, the local scaling exponent algorithm (LSA) is proposed here, that enables the
computation of both global and local exponents without little additional effort. First, the local mean at scale s
of a function xðtÞ is defined as
Z 1
mðtjsÞ ¼ fðtjsÞ  xðtÞ ¼ fðt  tjsÞxðtÞ dt. (6)
1

Multiscale local mean mðtjsÞ is the convolution of function xðtÞ with a weighting function fðtjsÞ. In this study,
the weighting function is chosen as
uðtÞ  uðt  sÞ
fðtjsÞ ¼ , (7)
s
where uðtÞ is the unit step function. In discrete form integration is substituted with summation and f with a
boxcar window of s points, Fig. 1. In a similar way the second-order central moment, or variance of xðtÞ at
scale s is defined as
Z 1
2
m2 ðtjsÞ ¼ fðtjsÞ  ½xðtÞ  mðtjsÞ ¼ fðt  tjsÞ½xðtÞ  mðtjsÞ2 dt. (8)
1

The algorithm for local scaling exponent estimation consists of the following steps:

1. Compute the power spectrum of sequence x and make a first estimate about the range of scales where the
analysis will be carried out. As with all methods based on window scaled variance the slope should be
1obo3. If the slope obtained is bo1, then work with a sequence that is defined from cumulative sums of x.
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0.12

0.1 s = 10

0.08

0.06
s = 20
0.04
s = 40
0.02

0
0 20 40 60 80 100

Fig. 1. The weighting function fðtjsÞ at scales s ¼ 10, 20, and 40.

0.5

-0.5

-1
0 50 100 150 200
number of points

Fig. 2. Detrending using zero delay running average.

2. Compute running mean m at scale s and keep only the N central samples.
3. Compute m2 at scale s and keep only the N central samples. Take the square root of m2 to obtain running
fluctuation F ðsÞ, or else running standard deviation.
4. For each point i ¼ 1; . . . ; N plot logðF i ðsÞÞ versus logðsÞ to obtain the local exponent hi by linear regression.
An estimate for the range of the scales where scaling behavior exists can be commenced at this point.
5. A global exponent can be calculated by first summing running fluctuation functions to obtain global
fluctuation

1X N
F ðsÞ ¼ F i ðsÞ, (9)
N i¼1

and subsequently plotting logðF ðsÞÞ versus logðsÞ.

In Fig. 2, detrending with the LSA is shown at scale s ¼ 20. This should be compared with Fig. 3, where
detrending as implemented in standard DFA is depicted. The extracted trend in Fig. 2 closely follows the
signal without any delay, the last being a known problem of the DFA moving average method. In the
extraction of moving average, edge effects are noticeable especially at large scales. To confront this problem a
symmetric extension of the original time-series is implemented to either side of it. If the larger scale that the
analysis is carried out is smax then smax =2 samples are added to either side with a y-axis symmetry. At the end of
the procedure these extra samples are removed.
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0.5

-0.5

-1
0 20 40 60 80 100 120 140 160 180 200
number of points

Fig. 3. Detrending according to the DFA method.

Table 1
Estimated values for the Hurst exponent

Actual exponent Weierstrass algorithm Davies–Harte algorithm

DFA LSA DFA LSA

0.0 0.0346 0.0293 – –

0.1 0.1050 0.1006 0.1333 0.1296
0.2 0.1962 0.1949 0.2186 0.2216
0.3 0.2940 0.2957 0.3250 0.3135
0.4 0.3929 0.3979 0.4078 0.4016
0.5 0.4919 0.5002 0.4924 0.4996
0.6 0.5908 0.6059 0.5894 0.6023
0.7 0.6894 0.7056 0.7065 0.6880
0.8 0.7877 0.8011 0.8193 0.8166
0.9 0.8886 0.8898 0.9435 0.9241
1.0 0.9829 0.9647 – –

Comparison of the DFA with the proposed LSA.

4. Accuracy of the proposed algorithm

4.1. Global exponent estimation

To examine the accuracy of the proposed algorithm on global exponent estimation, time-series of synthetic
fBm of 8192 points have been generated as defined by the Weierstrass function [21]
X
1
W a;b ðtÞ ¼ ak cosð2pbk tÞ, (10)
k¼0

where 0oao1 and ab41. The Hurst or Holder exponent is calculated as

j log aj
H¼ o1. (11)
log b
In all cases of study, a range of scales from s ¼ 10 to 1000 has been used. A total number of 50 scales
logarithmically spaced has been found to give an adequately dense pattern for subsequent linear regression to
be performed. The results are presented in Table 1 where a comparison with standard DFA technique is also
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LSA DFA
-0.5 -0.5

-1 -1
log [F (s)]

log [F (s)]
-1.5 -1.5

-2 -2
1 2 3 1 2 3
log (s) log (s)

Fig. 4. Comparison of LSA and DFA (regression line).

0.03

0.02
DFA
Fluctuation

0.01 LSA

0 0.2 0.4 0.6 0.8 1

Holder exponent

Fig. 5. Fluctuation about the linear regression line as a function of Holder exponent.

given. The LSA because of the convolution operation provides smoother estimates, Fig. 4. To further
demonstrate this fact, Fig. 5 presents the fluctuation (standard deviation) about the linear regression line. The
fluctuation in DFA increases almost linearly with exponent value. The fluctuation in LSA is in general lower,
but increases abruptly for exponents over H ¼ 0:6.
Next, 100 realizations of length 4096 points of fGn were generated using the exact Davies–Harte algorithm
[22]. The results are summarized in Table 1. The range of scales used was as above. In Table 1 the mean
exponent value is given. Fig. 6 presents the maximum and minimum estimation error for both methods in the
form of error bars. It can be observed that both methods overestimate the true exponent for small and large
exponent values. In the medium range of exponents the estimation is better.
As far as execution speed is concerned, this clearly depends on the details of the algorithm implementation.
Both algorithms have been implemented using MATLAB and executed on a Pentium PC with processor
running at 1.6 GHz. Typical execution times for a time-series of 65 536 points and 50 scales have been 81.1 s
for DFA and 16.5 s for LSA. So for this particular implementation it seems that LSA runs quite faster than
DFA. Faster algorithmic implementations of DFA might be possible and therefore no definitive statements
about execution speed can be made.
To conclude this paragraph, it can be said that both methods provide accurate estimates of Holder
exponents in the range 0oHo1. The slight advantage noticed in LSA is negated by the fact that the error in
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0.1

0.05

error
0

-0.05 DFA

-0.1
0 0.2 0.4 0.6 0.8 1
Holder exponent
0.1

0.05
error

-0.05 LSA

-0.1
0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1
Holder exponent

Fig. 6. Maximum and minimum errors in the estimation of H.

-1

-2
0 1000 2000 3000 4000 5000
number of points

Fig. 7. Fractional Brownian motion with exponent H ¼ 0:5.

1
0.9
0.8
Holder exponent

0.7
0.6
0.5
0.4
0.3
0.2
0.1
0
0 1000 2000 3000 4000 5000
number of points

Fig. 8. Pointwise Holder exponent for a homogeneous fractal with H ¼ 0:5.

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the estimation for both methods is an order of magnitude higher than the difference noticed between the two
methods.

4.2. Local exponent estimation

The accuracy of LSA on estimation of pointwise Holder exponent is first examined by means of a
monofractal signal constructed using Eq. (10) with exponent H ¼ a ¼ 0:5, Fig. 7. The result from application
of LSA is depicted in Fig. 8 from which it can be observed that the local exponent fluctuates around a mean
value very close to the theoretical value of a ¼ 0:5. The actual mean value is amean ¼ 0:4946 which agrees well
with that presented in Table 1. The empirical probability density function of exponents (Fig. 9) shows that
there is actually a spread around the mean. This histogram although not exactly correct for the case of a
monofractal, is a crude estimate of the singularity spectrum, because it is an estimate of the strength of every
singularity found in the signal.
Next a function with a prescribed Holder exponent time history is examined. As detailed in Ref. [23] a
generalized Weierstrass function of the form
X
1
W s ðtÞ ¼ 3ksðtÞ sinð3k tÞ, (12)
k¼0

0.8

0.6
pdf

0.4

0.2

0
0 0.2 0.5 0.8 1
Holder exponent

Fig. 9. Empirical probability density function of a homogeneous fractal with H ¼ 0:5 obtained from the local exponents of Fig. 8.

-2

-4

-6

-8
0 1000 2000 3000 4000 5000
number of points

Fig. 10. A signal with prescribed Holder exponent time-history from H ¼ 0 to 1.

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1.2

Holder exponent
0.8

0.6

0.4

0.2

-0.2
0 1000 2000 3000 4000 5000
number of points

Fig. 11. Holder exponents for a generalized Weierstrass function with seed function sðtÞ ¼ t.

0.5
0
-0.5
-1
-1.5
-2
-2.5
-3
-3.5
0 2000 4000 6000 8000 10000

Fig. 12. A function with H ¼ 0:7 for 1ono5000 and H ¼ 0:3 for 5001ono10 000.

1
0.9
0.8
Holder exponent

0.7
0.6
0.5
0.4
0.3
0.2
0.1
0
0 2000 4000 6000 8000 10000
number of points

Fig. 13. Pointwise Holder exponent for the function of Fig. 12 obtained with the LSA.

will provide a Holder exponent at each single point equal to aðtÞ ¼ sðtÞ, where sðtÞ is the seed function ranging
from 0 to 1. By considering sðtÞ ¼ t, the Holder exponent increases linearly from 0 to 1, Fig. 10. This behavior
is correctly captured by application of the local scaling exponent algorithm as shown in Fig. 11.
Next, a time-series is generated which is initially smooth ða ¼ 0:7Þ and then abruptly becomes less regular
ða ¼ 0:3Þ, Fig. 12. The pointwise exponent is shown in Fig. 13, from which it can be seen that the variability of
local exponents is higher for signals of higher regularity.
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As a last case, more general multifractals are considered starting from the binomial measure with weights p0 ,
p1 , where p0 þ p1 ¼ 1. The construction of the binomial measure follows a recursive process. Starting with an
interval, say [0, 1], divide into two subintervals and uniformly spread a fraction p0 of total mass on the left
subinterval ½0; 12 and a fraction p1 on the right subinterval ½12; 1. This procedure is repeated for each of the
subintervals resulted in the first step and the process is repeated again and again for a number of k steps. The
total mass is preserved in the interval [0, 1] and in this sense the measure is conservative. The binomial measure
m is strictly defined as the measure mk as k ! 1. The procedure described after k steps generates a time series
with N ¼ 2k points. The singularity spectrum f ðaÞ depends on the parameter p0 and it occurs that exponent a
can obtain any value between amin ¼ jlog2 p0 j and amax ¼ jlog2 p1 j. Some values are more probable than others.
The analytical expression is [24]
 q 
p þ ð1  p0 Þq
f ðaÞ ¼ qa þ ln 0 , (13)
2
where
pq0 lnðp0 Þ þ ð1  p0 Þq lnð1  p0 Þ
a¼ , (14)
lnð2Þ½pq0 þ ð1  p0 Þq 
and q describes the moment number. A typical time-series is shown in Fig. 14. The theoretical singularity
spectra and histogram of exponents are depicted in Fig. 15 for the case where p0 ¼ 0:55 and Fig. 16 for

x 10-3
2
1.8
1.6
1.4
1.2
1
0.8
0.6
0.4
0.2
0
2000 4000 6000 8000 10000 12000 14000 16000
number of points

Fig. 14. Binomial cascade with p0 ¼ 0:65 and p1 ¼ 0:35.

1.5

1
f (α)

0.5

0
0 0.5 1 1.5 2
α

Fig. 15. Histogram of exponents of a binomial cascade with p0 ¼ 0:55.

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1.5

f (α)
0.5

0
0 0.5 1 1.5 2
α

Fig. 16. Histogram of exponents of a binomial cascade with p0 ¼ 0:65.

15

10

-5

-10

-15
0 5000 10000 15000
number of points

Fig. 17. Log–Poisson cascade with g ¼ 1:2.

p0 ¼ 0:65. A range of scales from 10 to 1000 has been used and it should be noticed that the algorithm has
been applied to the differentiated time-series, because its accuracy is limited for exponent values over 1.
A more general multifractal can be constructed using masses that have a Poisson distribution for both the
left and right subintervals:

eg gx
pðxÞ ¼ . (15)
x!
A procedure to construct a log–Poisson binomial measure is described in Ref. [25] and is based on discrete
wavelet transform dyadic cascades. In this work, a modified version of the algorithms proposed in Ref. [26]
has been used. In the last reference methods to construct non-conservative multifractals are also considered.
The analytical expression for the singularity spectrum of a log–Poisson cascade is [27]
g ge
f ðaÞ ¼ 1  þ a log2 . (16)
lnð2Þ a

The most probable exponent occurs at a ¼ g. Fig. 17 shows a log–Poisson cascade with g ¼ 1:2. Fig. 18
presents a comparison between theoretical spectrum and histogram of exponents.
The empirical histogram is not an accurate estimate of the singularity spectrum. A comparison of the
histogram with the singularity spectrum can only be done on a qualitative basis. However, the histogram does
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1.5

f (α)
0.5

0
0 0.5 1 1.5 2 2.5 3
α

Fig. 18. Histogram of exponents of Log–Poisson cascade of Fig. 17.

4 2
velocity (arbitrary units)

1.5
Holder exponent

3
1

2 0.5

0
1
200 400 600 200 400 600
number of points number of points

Fig. 19. Velocity profile of a water jet (left) and corresponding pointwise Holder exponents (right).

provide a crude estimate of the strength of singularities found in the time-series. The peak is in most cases
correctly determined, as well as, the spread of exponent values.

5. Application of LSA on real data

In this section the LSA method is applied to time-series representing natural phenomena. In Fig. 19, the
velocity profile of a water jet (left) and the corresponding pointwise Holder exponents are shown. A beck
typically used in irrigation systems creates a water jet working under a pressure of 6 bars. A CCD camera was
used to take pictures of the jet at a sampling rate of 100 pictures per second. Fluorescent particles have been
added in the fluid to keep track of the mass movement. In order to estimate the velocity the mean value
between two successive frames has been extracted. The velocity is higher right under the nozzle and reduces
away from it. The Holder exponent attains a high value close to 1.5 under the nozzle, indicating high degree of
coherence and laminar flow. Away from the main column of fluid the Holder exponent values are below 0.5
suggesting the existence of turbulent flow.
The second example is taken from the discipline of room acoustics. These experiments were carried out in
order to obtain some idea about the structure of wall reflections in a partly absorptive room environment. The
room has been excited with a pseudorandom MLS signal and the impulse response has been calculated with
direct convolution of the original excitation with room response. The sampling frequency was 16 kHz. In
Fig. 20, the impulse response of a room of total volume 74 m3 with flat absorptive surfaces is given.
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0.5

Impulse response
0

-0.5
0 50 100 150 200 250 300
time (ms)
2
Holder exponent

-1
0 50 100 150 200 250 300
time (ms)

Fig. 20. Impulse response with low sound diffusion (top) and corresponding pointwise Holder exponent (bottom); range of scales
s ¼ 1021000.
Impulse response

0.5

-0.5
0 50 100 150 200 250 300
time (ms)
1
Holder exponent

0.5

-0.5
50 100 150 200 250 300
time (ms)

Fig. 21. Impulse response of a room with high diffusion of sound (top) and corresponding pointwise Holder exponent (bottom); range of
scales s ¼ 1021000.

The pointwise exponent provides insight about the structure of room reflections that after about 100 ms reach
a high degree of coherence (Holder exponents near 1.0). In Fig. 21, the impulse response of the same room
with approximately the same degree of absorption is given, the only difference being that now the sides and
back wall are not flat, but irregular aiming in better scattering of sound waves. This fact is reflected on the
pointwise Holder exponents, which are now much lower and certainly well below 1.0. In essence, the local
exponents allow the discrimination between two rooms with approximately the same reverberation, but
different degree of sound diffusion.
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60

40

acceleration (m/s2)
20

-20

-40

-60

0 0.1 0.2 0.3 0.4 0.5 0.6

time (s)

Fig. 22. Vibration time-series of a gear pair with a bending fatigue crack.

1.8
1.6
1.4
Scaling exponent h

1.2
1.0
0.8
0.6
0.4
0.2
0
-0.2
0 0.1 0.2 0.3 0.4 0.5 0.6
time (s)

Fig. 23. Pointwise Holder exponents of a gear pair with a bending fatigue crack range of scales s ¼ 7275.

The last example is from the field of machinery condition monitoring. In Fig. 22 the vibration time-series of
a gearbox suffering bending fatigue crack in one gear tooth is shown. The gearbox connects a DC machine
running at 500 rpm with an electrical brake the last acting as a load of nominally 18 Nm torque. The sampling
frequency was 20 kHz and an accelerometer bolted on the gear was used as the vibration transducer. The time-
series looks complicated enough and the first thought is that if scaling behavior exists then a range of
exponents will better describe the signal properties. The pointwise Holder is given in Fig. 23, where we can see
that the exponent fluctuates between low and high values. The peak values occur at intervals of approximately
200 ms, which coincides with the meshing period, i.e., with the exact times that the defected tooth comes in
contact with another tooth. The high exponent values observed (close to 1.5) are explained by noticing that
each time there is an impact the gear body resonance is excited. It is of interest to note that the values given by
the LSA are in good agreement with those found in another study by the author based on the wavelet
transform modulus maxima method [28]. This is of course a faint evidence of good correlation between the
two methods and a more systematic study that includes a broad range of methods should be pursued.

6. Conclusions

An algorithm for estimation of the pointwise Holder exponent has been proposed. The algorithm is based
on the scaled window variance technique. The concept of convolution is the central idea of the method and
results in an implementation that is both compact and computationally efficient. The problem of signal
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detrending is solved by employing an adaptive detrending technique in the form of running average with zero
delay. Edge effects are suppressed by symmetrical extension of the time-series. The method can therefore be
used in short time-series with no more than 5000 points and probably less.
It has been demonstrated that the algorithm is capable of extracting both global and local exponents. The
accuracy of the new algorithm on global exponent estimation has been verified by application to synthetic fBm
time-series. An accurate estimation of the Hurst exponent is possible comparable to that obtained with the
widely acknowledged DFA technique. The LSA provides a smoother estimate, which might, or might not be
an advantage, depending on the case at hand.
The accuracy of the LSA on the estimation of pointwise Holder exponent has been verified by application
on signals with a prescribed local Holder exponent structure. The LSA follows quite closely the evolution
of Holder exponent with time. However, the variability of the estimate increases as the signal regularity
increases. It has been also proposed that the empirical histogram of local exponents is a crude estimate for the
spectrum of singularities found in the signal. The LSA does not provide an accurate estimation of the
singularity spectrum, but it does correctly determine the most probable exponent and the spectrum spread.
A comparison of the proposed method with other methods mentioned in the literature could well form the
basis for a new study.
Applications have been given to experimental data from the fields of fluid dynamics, room acoustics and
rotating machinery diagnostics. It has been demonstrated that the pointwise exponent aims in the examination
of a signal’s fine structure and physical interpretations are possible. The applications given are not restrictive
and the proposed algorithm can be used for the analysis of any type of non-stationary time-series including
biomedical, geophysical and econometric type of signals.

Acknowledgments

The author is grateful to the anonymous reviewers whose comments greatly helped in improving the clarity
of the original manuscript.

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