Comparison study of DFA and DMA methods in analysis of autocorrelations in time series

Physics – Condensed Matter – Other Condensed Matter

Scientific paper

Rate now

  [ 0.00 ] – not rated yet Voters 0   Comments 0

Details

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.

No associations

LandOfFree

Say what you really think

Search LandOfFree.com for scientists and scientific papers. Rate them and share your experience with other people.

Rating

Comparison study of DFA and DMA methods in analysis of autocorrelations in time series 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 study of DFA and DMA methods in analysis of autocorrelations in time series, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Comparison study of DFA and DMA methods in analysis of autocorrelations in time series will most certainly appreciate the feedback.

Rate now

     

Profile ID: LFWR-SCP-O-453511

  Search
All data on this website is collected from public sources. Our data reflects the most accurate information available at the time of publication.