Economy – Quantitative Finance – Statistical Finance
Scientific paper
2008-04-25
Economy
Quantitative Finance
Statistical Finance
20 pages, 8 figures
Scientific paper
10.1016/j.physa.2008.04.023
We examine several recently suggested methods for the detection of long-range correlations in data series based on similar ideas as the well-established Detrended Fluctuation Analysis (DFA). In particular, we present a detailed comparison between the regular DFA and two recently suggested methods: the Centered Moving Average (CMA) Method and a Modified Detrended Fluctuation Analysis (MDFA). We find that CMA is performing equivalently as DFA in long data with weak trends and slightly superior to DFA in short data with weak trends. When comparing standard DFA to MDFA we observe that DFA performs slightly better in almost all examples we studied. We also discuss how several types of trends affect the different types of DFA. For weak trends in the data, the new methods are comparable with DFA in these respects. However, if the functional form of the trend in data is not a-priori known, DFA remains the method of choice. Only a comparison of DFA results, using different detrending polynomials, yields full recognition of the trends. A comparison with independent methods is recommended for proving long-range correlations.
Bartsch Ronny
Bashan Amir
Havlin Shlomo
Kantelhardt Jan W.
No associations
LandOfFree
Comparison of detrending methods for fluctuation analysis does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.
If you have personal experience with Comparison of detrending methods for fluctuation analysis, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Comparison of detrending methods for fluctuation analysis will most certainly appreciate the feedback.
Profile ID: LFWR-SCP-O-728124