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2015 | 127 | 3A | A-59-A-65
Article title

Impact of Scaling Range on the Effectiveness of Detrending Methods

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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.
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Contributors
author
  • Faculty of Physics and Astronomy, University of Wrocław, Econophysics and Time Series Analysis Group (ETSA), pl. M. Borna 9, PL-50204 Wrocław, Poland
author
  • 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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bwmeta1.element.bwnjournal-article-appv127n3a10kz
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