Evenly spacing in Detrended Fluctuation Analysis

Zainy M.H. Almurad and Didier Delignières

Physica A: Statistical Mechanics and its Applications, 2016, vol. 451, issue C, 63-69

Abstract: Detrended Fluctuation Analysis is a widely used method, which aims at assessing the level of self-similarity in time series. This method analyzes the diffusion properties of the signal, by computing the linear regression slope in the diffusion plot, representing in log–log coordinates the relationship between the variability of the signal and the length of the intervals over which this variability is computed. We compare in this paper the results obtained with logarithmically spaced and evenly spaced diffusion plots. The study shows the substantial benefits of evenly spacing, especially in the reduction of the variability of estimation.

Keywords: Detrended Fluctuation Analysis; Power laws; Diffusion plot; Evenly spacing (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:451:y:2016:i:c:p:63-69

DOI: 10.1016/j.physa.2015.12.155

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