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Detecting Long-range Correlations with Detrended Fluctuation Analysis

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 نشر من قبل Jan W. Kantelhardt
 تاريخ النشر 2001
  مجال البحث فيزياء
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We examine the Detrended Fluctuation Analysis (DFA), which is a well-established method for the detection of long-range correlations in time series. We show that deviations from scaling that appear at small time scales become stronger in higher orders of DFA, and suggest a modified DFA method to remove them. The improvement is necessary especially for short records that are affected by non-stationarities. Furthermore, we describe how crossovers in the correlation behavior can be detected reliably and determined quantitatively and show how several types of trends in the data affect the different orders of DFA.



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