Neurophysiology is a branch of physiology and neuroscience that is concerned with the study of the functioning of the nervous system. Neurophysiological time series are signal shaped time series which are governed from different processes that are related to nervous system. The most important neurophysiological time series which is directly related to the activity of the nervous system is the EEG signal. Besides EEG time series there are some other neurophysiological signals which are indirectly related to the activity of the nervous system. For instance, the respiratory signal is another type of neurophysiological time series which is governed from the process of the nervous system. In fact, ventilation occurs under the control of the autonomic nervous system from the medulla oblongata and the pons in the brainstem. These areas of the brain form the respiration regulatory center, a series of interconnected brain cells within the lower and middle brain stem which coordinate respiratory movements. We can call other types of neurophysiological time series such as fixational eye movements time series, etc. Analysis, modeling and prediction of neurophysiological time series always have been an important issue between researchers. One of the most important aspects of these modeling and analysis has been from mathematical point of view. In fact, using mathematics for the modeling purpose helps scientists to investigate precisely about the processes. Employing mathematical models can help them in forecasting the processes in the next step where the biological modeling cannot help. Fractals are scale-invariant geometric objects. A scale invariant object can be self-similar or selfaffine. A self-similar object is a union of rescaled copies of itself which is isotropic or uniform in all directions. But in case of self-affine objects, the mechanism is an isotropic or dependent on the direction. Regular fractals have higher self-similarity, but random fractals have a weaker selfsimilarity. The class of regular fractals includes many familiar simple objects, such as line intervals, solid squares, and solid cubes, and also many irregular objects. The scaling rules are characterized by "scaling exponents" (dimension). "Simple" regular fractals have integer scaling dimensions. Complex self-similar objects have non-integer dimension. Therefore, it is completely incorrect to define fractals as geometric objects having "fractional" (non-integer) dimension. Fractals maybe defined as geometric objects whose scaling exponent (dimension) satisfies the Szpilrajn inequality:ℵ ≥ (1) where ℵ is the scaling exponent (dimension) of the object and is its topological dimension, i.e., Euclidean dimension of units from which the fractal object is built. For example, in case of Brownian motion: the path of a particle, a line of dimension one, traveling for a long time over a plane region, eventually covers the entire plane, an entity of dimension two. In case of multi fractal system a single fractal dimension cannot describe its dynamics. In thi...