Modified detrended fluctuation analysis based on empirical mode decomposition

Details Modified detrended fluctuation analysis based on empirical mode decomposition Modified detrended fluctuation analysis based on empirical mode decomposition

2009-07-19

arxiv.org/abs/0907.3284v1

Physica A 390, 4388-4395 (2011)

Physics

Condensed Matter

Statistical Mechanics

6 RevTex pages including 5 eps figures

Scientific paper

10.1016/j.physa.2011.07.008

Detrended fluctuation analysis (DFA) is a simple but very efficient method for investigating the power-law long-term correlations of non-stationary time series, in which a detrending step is necessary to obtain the local fluctuations at different timescales. We propose to determine the local trends through empirical mode decomposition (EMD) and perform the detrending operation by removing the EMD-based local trends, which gives an EMD-based DFA method. Similarly, we also propose a modified multifractal DFA algorithm, called an EMD-based MFDFA. The performance of the EMD-based DFA and MFDFA methods is assessed with extensive numerical experiments based on fractional Brownian motion and multiplicative cascading process. We find that the EMD-based DFA method performs better than the classic DFA method in the determination of the Hurst index when the time series is strongly anticorrelated and the EMD-based MFDFA method outperforms the traditional MFDFA method when the moment order $q$ of the detrended fluctuations is positive. We apply the EMD-based MFDFA to the one-minute data of Shanghai Stock Exchange Composite index, and the presence of multifractality is confirmed.

Affiliated with

Also associated with

No associations

Rating

Modified detrended fluctuation analysis based on empirical mode decomposition 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 Modified detrended fluctuation analysis based on empirical mode decomposition, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Modified detrended fluctuation analysis based on empirical mode decomposition will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-585904