Statistical theory of self--similar time series

Abstract

Within Tsallis statistics, a picture is elaborated to address self--similar time series as a thermodynamic system. Thermodynamic--type characteristics relevant to temperature, pressure, entropy, internal and free energies are introduced and tested. Predictability conditions of time series analysis are discussed in details on the basis of Van der Waals model. Maximal magnitude for time interval and minimal resolution scale of the value under consideration are found and analyzed in details. Time series statistics is shown to be governed by effective temperature being exponential measure of the fractal dimensionality of a phase space related to the time series.