Multifractal detrended fluctuation analyses

version (7.04 MB) by Espen Ihlen
The multifractal


Updated 20 Sep 2012

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In stochastic processes, chaos theory and time series analysis, detrended fluctuation analysis (DFA) is a method for determining the statistical self-affinity of a signal by computing alpha (or Hurst exponent H).It is useful for analysing time series that appear to be long-range dependent processes. However, the conventional DFA only scale the second order statistical moment and assumes that the process are normal distributed. MFDFA1 and MFDFA2 in the present zip-folder computes the H(q) for all q-order statistical moments as well as the local Hurst exponent H(t). Furthermore, H(q) and H(t) are also used to compute the multifractal spectrum D(h) by a legendre transform of H(q) or directly from the histogram of H(t).

If the codes are used in scientific publications please cite Ihlen (2012) contained in the zip-folder.

Modifications of MFDFA code with wavelet and EMD detrending are availible at

Cite As

Espen Ihlen (2022). Multifractal detrended fluctuation analyses (, MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2009a
Compatible with any release
Platform Compatibility
Windows macOS Linux

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