Effect of the signal filtering on detrended fluctuation analysis

Ruixue Li, Jiang Wang and Yingyuan Chen

Physica A: Statistical Mechanics and its Applications, 2018, vol. 494, issue C, 446-453

Abstract: Detrended fluctuation analysis (DFA) is an effective method to accurately quantify long-term correlations embedded in a nonstationary time series. In this paper, we study the effect of signal filtering of a signal on the DFA method. The theoretical and simulated results show that the signal filtering will affect the range of scale in DFA. Moreover, this effect is different for fractal Gaussian noise series and fractal Brown movement series. Our study is meaningful for improving accuracy and efficiency of DFA method in theory and practice.

Keywords: Detrended fluctuation analysis; Signal filtering; Scale range; Long-term correlation (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:494:y:2018:i:c:p:446-453

DOI: 10.1016/j.physa.2017.12.011

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