Detrended fluctuation analysis of power-law-correlated sequences with random noises

Details Detrended fluctuation analysis of power-law-correlated sequences with random noises Detrended fluctuation analysis of power-law-correlated sequences with random noises

2009-02-04

arxiv.org/abs/0902.0678v1

Physics

Data Analysis, Statistics and Probability

12 pages, 11 figures

Scientific paper

Improvement in time resolution sometimes introduces short-range random noises into temporal data sequences. These noises affect the results of power-spectrum analyses and the Detrended Fluctuation Analysis (DFA). The DFA is one of useful methods for analyzing long-range correlations in non-stationary sequences. The effects of noises are discussed based on artificial temporal sequences. Short-range noises prevent power-spectrum analyses from detecting long-range correlations. The DFA can extract long-range correlations from noisy time sequences. The DFA also gives the threshold time length, under which the noises dominate. For practical analyses, coarse-grained time sequences are shown to recover long-range correlations.

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