multifractal toolbox

This is a collection of Julia scripts for multifractal analysis of time series. At the moment toolbox has implementations of the following methods:

• Multifractal detrended fluctuation analysis (MFDFA)
• Chhabra-Jensen method

I am planning to add more methods in the future:

• Multifractal detrended cross-correlation analysis (MFDCCA)
• WTMM

Installation

To install the toolbox, run the following command in Julia's REPL:

julia> include("multi_fractals.jl")

Examples

A jupyter notebook with examples of using the toolbox is available in the examples folder.