Scaling in non-stationary time series. (I)

M. Ignaccolo, P. Allegrini, P. Grigolini, P. Hamilton and B.J. West

Physica A: Statistical Mechanics and its Applications, 2004, vol. 336, issue 3, 595-622

Abstract: Most data processing techniques, applied to biomedical and sociological time series, are only valid for random fluctuations that are stationary in time. Unfortunately, these data are often non-stationary and the use of techniques of analysis resting on the stationary assumption can produce a wrong information on the scaling, and so on the complexity of the process under study. Herein, we test and compare two techniques for removing the non-stationary influences from computer generated time series, consisting of the superposition of a slow signal and a random fluctuation. The former is based on the method of wavelet decomposition, and the latter is a proposal of this paper, denoted by us as step detrending technique. We focus our attention on two cases, when the slow signal is a periodic function mimicking the influence of seasons, and when it is an aperiodic signal mimicking the influence of a population change (increase or decrease). For the purpose of computational simplicity the random fluctuation is taken to be uncorrelated. However, the detrending techniques here illustrated work also in the case when the random component is correlated. This expectation is fully confirmed by the sociological applications made in the companion paper. We also illustrate a new procedure to assess the existence of a genuine scaling, based on the adoption of diffusion entropy, multiscaling analysis and the direct assessment of scaling. Using artificial sequences, we show that the joint use of all these techniques yield the detection of the real scaling, and that this is independent of the technique used to detrend the original signal.

Keywords: Scaling; Multiscaling; Diffusion entropy; Non-stationary time series; Detrending methods (search for similar items in EconPapers)
Date: 2004
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:336:y:2004:i:3:p:595-622

DOI: 10.1016/j.physa.2003.12.034

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