A criterion for the determination of optimal scaling ranges in DFA and MF-DFA

Damián Gulich and Luciano Zunino

Physica A: Statistical Mechanics and its Applications, 2014, vol. 397, issue C, 17-30

Abstract: We develop a criterion based on a brute-force algorithm to systematically determine optimal fitting regions for fluctuation functions in Detrended Fluctuation Analysis (DFA) and Multifractal Detrended Fluctuation Analysis (MF-DFA). We analyze and compare results with several artificially generated time series with known parameters as illustrative examples of this technique. We show that crossover time scales can also be objectively and efficiently estimated using the introduced algorithm. Finally, we employ the proposed methodology to study the scaling behavior of a natural time series: monthly sunspot data previously filtered with empirical mode decomposition (EMD); in this case we find results comparable with those found in the literature.

Keywords: Scaling range; Scaling exponent; Detrended Fluctuation Analysis; Multifractal Detrended Fluctuation Analysis; Crossover time scales; Time series analysis (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (13)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:397:y:2014:i:c:p:17-30

DOI: 10.1016/j.physa.2013.11.029

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