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Mathematical Problems in Engineering
Volume 2010, Article ID 157264, 26 pages
Review Article

Fractal Time Series—A Tutorial Review

School of Information Science & Technology, East China Normal University, No. 500, Dong-Chuan Road, Shanghai 200241, China

Received 23 September 2009; Accepted 29 October 2009

Academic Editor: Massimo Scalia

Copyright © 2010 Ming Li. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.


Fractal time series substantially differs from conventional one in its statistic properties. For instance, it may have a heavy-tailed probability distribution function (PDF), a slowly decayed autocorrelation function (ACF), and a power spectrum function (PSD) of type. It may have the statistical dependence, either long-range dependence (LRD) or short-range dependence (SRD), and global or local self-similarity. This article will give a tutorial review about those concepts. Note that a conventional time series can be regarded as the solution to a differential equation of integer order with the excitation of white noise in mathematics. In engineering, such as mechanical engineering or electronics engineering, engineers may usually consider it as the output or response of a differential system or filter of integer order under the excitation of white noise. In this paper, a fractal time series is taken as the solution to a differential equation of fractional order or a response of a fractional system or a fractional filter driven with a white noise in the domain of stochastic processes.