Minimizing the effect of periodic and quasi-periodic trends in detrended fluctuation analysis

Radhakrishnan Nagarajan and Rajesh G. Kavasseri

Chaos, Solitons & Fractals, 2005, vol. 26, issue 3, 777-784

Abstract: Detrended fluctuation analysis (DFA) has been proposed as a robust technique to determine possible long-range correlations in power-law processes. However, recent studies have reported the susceptibility of DFA to periodic trends, which can result in spurious crossovers. In this brief report, we propose a technique based on singular value decomposition to minimize the effect of both periodic as well as quasi-periodic trends in DFA estimation. The effectiveness of the proposed technique is demonstrated on publicly available data sets.

Date: 2005
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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:26:y:2005:i:3:p:777-784

DOI: 10.1016/j.chaos.2005.01.036

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