Abstract
We examine the detrended fluctuation analysis (DFA), which is a well-established method for the detection of long-range correlations in time series. We show that deviations from scaling which appear at small time scales become stronger in higher orders of DFA, and suggest a modified DFA method to remove them. The improvement is necessary especially for short records that are affected by non-stationarities. Furthermore, we describe how crossovers in the correlation behavior can be detected reliably and determined quantitatively and show how several types of trends in the data affect the different orders of DFA.
Original language | English |
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Pages (from-to) | 441-454 |
Number of pages | 14 |
Journal | Physica A: Statistical Mechanics and its Applications |
Volume | 295 |
Issue number | 3-4 |
DOIs | |
State | Published - 15 Jun 2001 |
Bibliographical note
Funding Information:This work was supported by the Deutsche Forschungsgemeinschaft and the project “KLIWA” of the Bayerische Landesamt für Wasserwirtschaft.
Keywords
- Detrending
- Long-range correlations
- Time-series analysis