Comparison of detrending methods for fluctuation analysis

Amir Bashan, Ronny Bartsch, Jan W. Kantelhardt and Shlomo Havlin

Physica A: Statistical Mechanics and its Applications, 2008, vol. 387, issue 21, 5080-5090

Abstract: We examine several recently suggested methods for the detection of long-range correlations in data series based on similar ideas as the well-established Detrended Fluctuation Analysis (DFA). In particular, we present a detailed comparison between the regular DFA and two recently suggested methods: the Centered Moving Average (CMA) Method and a Modified Detrended Fluctuation Analysis (MDFA). We find that CMA performs the same as DFA in long data with weak trends and is slightly superior to DFA in short data with weak trends. When comparing standard DFA to MDFA we observe that DFA performs slightly better in almost all examples we studied. We also discuss how several types of trends affect different types of DFA. For weak trends in the data, the new methods are comparable with DFA in these respects. However, if the functional form of the trend in data is not a-priori known, DFA remains the method of choice. Only a comparison of DFA results, using different detrending polynomials, yields full recognition of the trends. A comparison with independent methods is recommended for proving long-range correlations.

Keywords: Time series analysis; Long-range correlations; Detrended fluctuation analysis; Crossovers; Non-stationarities (search for similar items in EconPapers)
Date: 2008
References: View complete reference list from CitEc
Citations: View citations in EconPapers (57)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:387:y:2008:i:21:p:5080-5090

DOI: 10.1016/j.physa.2008.04.023

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