Physics – Condensed Matter – Other Condensed Matter
Scientific paper
2005-07-16
Physics
Condensed Matter
Other Condensed Matter
LaTeX 16 pages, 13 figures (included)
Scientific paper
Statistics of the Hurst scaling exponents calculated with the use of two methods: recently introduced Detrended Moving Average Analysis(DMA) and Detrended Fluctuation Analysis (DFA)are compared. Analysis is done for artificial stochastic Brownian time series of various length and reveals interesting statistical relationships between two methods. Good agreement between DFA and DMA techniques is found for long time series $L\sim 10^{5}$, however for shorter series we observe that two methods give different results with no systematic relation between them. It is shown that, on the average, DMA method overestimates the Hurst exponent comparing it with DFA technique.
Grech Dariusz
Mazur Zygmunt
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