Anisotropic diffusion and correlation analysis.
A method of statistical analysis of the correlation between two given scale invariant sequences is proposed. The relation between the fractal dimension of a two-dimensional random walk, generated with jumps derived from the signals, and the scaling exponents of the sequences is investigated, and a well-defined relation is found in the case of statistically independent signals. The method of analysis, whose performance is described for the case of an intermittent map, might represent a new tool for the study of the correlation between coupled complex systems.
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