DETRENDED FLUCTUATION ANALYSIS OF AUTOREGRESSIVE PROCESSES
نویسندگان
چکیده
منابع مشابه
Revisiting detrended fluctuation analysis
Half a century ago Hurst introduced Rescaled Range (R/S) Analysis to study fluctuations in time series. Thousands of works have investigated or applied the original methodology and similar techniques, with Detrended Fluctuation Analysis becoming preferred due to its purported ability to mitigate nonstationaries. We show Detrended Fluctuation Analysis introduces artifacts for nonlinear trends, i...
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Detrended fluctuation analysis (DFA) is a scaling analysis method used to estimate long-range power-law correlation exponents in noisy signals. Many noisy signals in real systems display trends, so that the scaling results obtained from the DFA method become difficult to analyze. We systematically study the effects of three types of trends--linear, periodic, and power-law trends, and offer exam...
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ژورنال
عنوان ژورنال: Fluctuation and Noise Letters
سال: 2007
ISSN: 0219-4775,1793-6780
DOI: 10.1142/s0219477507003908