Detecting Long-range Correlations with Detrended Fluctuation Analysis

Details Detecting Long-range Correlations with Detrended Fluctuation Analysis Detecting Long-range Correlations with Detrended Fluctuation Analysis

2001-02-12

arxiv.org/abs/cond-mat/0102214v1

Physica A 295, 441-454 (2001)

Physics

Condensed Matter

Statistical Mechanics

10 pages, including 8 figures

Scientific paper

10.1016/S0378-4371(01)00144-3

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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