Impact of Scaling Range on the Effectiveness of Detrending Methods

• Authors: D. Grech , Z. Mazur
• Languages of publication: EN

Abstracts

EN

We make the comparative study of scaling range properties for detrended fluctuation analysis (DFA), detrended moving average analysis (DMA) and recently proposed new technique called modified detrended moving average analysis (MDMA). Basic properties of scaling ranges for these techniques are reviewed. The efficiency and exactness of all three methods towards proper determination of scaling Hurst exponent H is discussed, particularly for short series of uncorrelated and persistent data.

Keywords

EN

05.45.Tp; 89.75.Da; 02.60.-x; 89.20.-a

Discipline

• 05.45.Tp: Time series analysis
• 89.20.-a: Interdisciplinary applications of physics
• 02.60.-x: Numerical approximation and analysis
• 89.75.Da: Systems obeying scaling laws

• Publisher: Institute of Physics, Polish Academy of Sciences
• Journal: Acta Physica Polonica A
• Year: 2015
• Volume: 127
• Issue: 3A
• Pages: A-59-A-65

Dates

published

2015-03

Contributors

author

D. Grech

• Faculty of Physics and Astronomy, University of Wrocław, Econophysics and Time Series Analysis Group (ETSA), pl. M. Borna 9, PL-50204 Wrocław, Poland

author

Z. Mazur

• Faculty of Physics and Astronomy, University of Wrocław, Econophysics and Time Series Analysis Group (ETSA), pl. M. Borna 9, PL-50204 Wrocław, Poland

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Identifiers

DOI

10.12693/APhysPolA.127.A-59