The relationship between the detrendend fluctuation analysis and the autocorrelation function of a signal

Marc Höll () and Holger Kantz

The European Physical Journal B: Condensed Matter and Complex Systems, 2015, vol. 88, issue 12, 1-7

Abstract: We derive an analytical expression for the fluctuation function of the detrended fluctuation analysis and state the relationship with the autocorrelation function for stationary processes. With this result we can investigate the scaling of the fluctuation function for short-range and long-range correlated processes. Furthermore we show that short-range correlated processes always exhibit a crossover between regions of different scaling. We also extend our results to processes with additive trends and discuss the effect of measurement noise. Copyright EDP Sciences, SIF, Springer-Verlag Berlin Heidelberg 2015

Keywords: Statistical and Nonlinear Physics (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (9)

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DOI: 10.1140/epjb/e2015-60721-1

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