Linear combination of power-law functions for detecting multiscaling using detrended fluctuation analysis

J.C. Echeverria, E. Rodriguez, M. Aguilar-Cornejo and J. Alvarez-Ramirez

Physica A: Statistical Mechanics and its Applications, 2016, vol. 460, issue C, 283-293

Abstract: In many instances, the fluctuation function obtained from detrended fluctuation analysis (DFA) cannot be described by a uniform power-law function along scales. In fact, the manifestation of crossover scales may reflect the simultaneous action of different stochastic mechanisms displayed predominantly within certain scale ranges. This note proposes the use of a linear combination of power-law functions for adjusting DFA data. The idea is that each power-law function recast the dominance of certain stochastic mechanisms (e.g., the mean-reversion and long-term trends) at specific scale domains. Different values of the scaling exponents are numerically estimated by means of a nonlinear least-squares fitting of power-law functions. Examples of crude oil market and heart rate variability are discussed with some detail for illustrating the advantages of taking a linear combination of power-law functions for describing scaling behavior from DFA.

Keywords: Detrended fluctuation analysis; Multiple power-law functions; Crude oil market; Heart rate variability (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:460:y:2016:i:c:p:283-293

DOI: 10.1016/j.physa.2016.05.029

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