Scaling analysis of trends using DFA

Dmitry Vjushin; R. B. Govindan; Roberto A. Monetti; Shlomo Havlin; Armin Bunde

doi:10.1016/s0378-4371(01)00467-8

Scaling analysis of trends using DFA

Dmitry Vjushin, R. B. Govindan, Roberto A. Monetti, Shlomo Havlin, Armin Bunde

Department of Physics - at Bar-Ilan University

Research output: Contribution to journal › Conference article › peer-review

19 Scopus citations

Abstract

We study two aspects of the detrended fluctuation analysis (DFA) method, namely the scaling behavior of the leading terms of the best-fit polynomials and the detection of trends. We show analytically and numerically that the standard deviation of the leading terms of the best-fit polynomials used in DFA displays scaling behavior. Furthermore, we demonstrate that the distribution of these terms can be used to reveal the presence of trends in the data. We also argue that this distribution can be used as a sensitive tool for identifying weak trends.

Original language	English
Pages (from-to)	234-243
Number of pages	10
Journal	Physica A: Statistical Mechanics and its Applications
Volume	302
Issue number	1-4
DOIs	https://doi.org/10.1016/s0378-4371(01)00467-8
State	Published - 15 Dec 2001
Event	International Workshop on Frontiers in the Physics of Complex Systems - Ramat-Gan, Israel Duration: 25 Mar 2001 → 28 Mar 2001

Bibliographical note

Funding Information:
We wish to acknowledge Dr. Webman for useful discussions. RAM would like to acknowledge CONICET (Argentina) for financial support.

Funding

We wish to acknowledge Dr. Webman for useful discussions. RAM would like to acknowledge CONICET (Argentina) for financial support.

Funders	Funder number
Consejo Nacional de Investigaciones Científicas y Técnicas

Keywords

Correlations
DFA
Scaling
Trends

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10.1016/s0378-4371(01)00467-8

Cite this

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note = "Funding Information: We wish to acknowledge Dr. Webman for useful discussions. RAM would like to acknowledge CONICET (Argentina) for financial support. ; International Workshop on Frontiers in the Physics of Complex Systems ; Conference date: 25-03-2001 Through 28-03-2001",

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AU - Govindan, R. B.

AU - Monetti, Roberto A.

AU - Havlin, Shlomo

AU - Bunde, Armin

N1 - Funding Information: We wish to acknowledge Dr. Webman for useful discussions. RAM would like to acknowledge CONICET (Argentina) for financial support.

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KW - Scaling

KW - Trends

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T2 - International Workshop on Frontiers in the Physics of Complex Systems

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Scaling analysis of trends using DFA

Abstract

Bibliographical note

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Keywords

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