Physics – Condensed Matter – Statistical Mechanics
Scientific paper
2004-12-29
Physica A, 2005
Physics
Condensed Matter
Statistical Mechanics
15 pages, 13 Figures
Scientific paper
10.1016/j.physa.2005.01.041
Detrended fluctuation analysis (DFA) has been proposed as a robust technique to determine possible long-range correlations in power-law processes [1]. However, recent studies have reported the susceptibility of DFA to trends [2] which give rise to spurious crossovers and prevent reliable estimation of the scaling exponents. Inspired by these reports, we propose a technique based on singular value-decomposition (SVD) of the trajectory matrix to minimize the effect of linear, power-law, periodic and also quasi-periodic trends superimposed on long-range correlated power-law noise. The effectiveness of the technique is demonstrated on publicly available data sets [2].
Kavasseri Rajesh G.
Nagarajan Radhakrishnan
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