Smoothed detrended fluctuation analysis

被引：4
|
作者：
Linhares, Raquel Romes [1 ]
机构：
[1] Univ Fed Uberlandia, Fac Math, Uberlandia, MG, Brazil
来源：
JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION | 2016年 / 86卷 / 17期
关键词：
Long-range dependence; detrended fluctuation analysis; fractional Gaussian noise; Hurst exponent; wavelet shrinkage; LOCAL HURST EXPONENT; WAVELET SHRINKAGE; DYNAMICS;
D O I：
10.1080/00949655.2016.1154965
中图分类号：
TP39 [计算机的应用];
学科分类号：
081203 ; 0835 ;
摘要：
The method of detrended fluctuation analysis (DFA) is useful in revealing the extent of long-range dependence, it has successfully been applied to different fields of interest. In this paper we proposed a smoothed detrended fluctuation analysis method based on the principle of wavelet shrinkage. The procedure is illustrated and compared with the DFA method by Monte Carlo simulations on fractional Gaussian noise models.
引用
收藏
页码：3388 / 3397
页数：10
相关论文
共 50 条
  • [41] EVALUATION OF SLEEP BY DETRENDED FLUCTUATION ANALYSIS OF THE HEARTBEAT
    Yazawa, Toru
    Shimoda, Yukio
    Hutapea, Albert M.
    [J]. IAENG TRANSACTIONS ON ENGINEERING TECHNOLOGIES, VOL 6, 2011, 1373
  • [42] Detrended fluctuation analysis of the US stock market
    Serletis, Apostolos
    Uritskaya, Olga Yu.
    Uritsky, Vadim M.
    [J]. INTERNATIONAL JOURNAL OF BIFURCATION AND CHAOS, 2008, 18 (02): : 599 - 603
  • [43] Detrended fluctuation analysis of human brain electroencephalogram
    Pan, CP
    Zheng, B
    Wu, YZ
    Wang, Y
    Tang, XW
    [J]. PHYSICS LETTERS A, 2004, 329 (1-2) : 130 - 135
  • [44] Detrended fluctuation analysis of heart intrabeat dynamics
    Rodriguez, Eduardo
    Echeverria, Juan C.
    Alvarez-Ramirez, Jose
    [J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2007, 384 (02) : 429 - 438
  • [45] Effect of the signal filtering on detrended fluctuation analysis
    Li, Ruixue
    Wang, Jiang
    Chen, Yingyuan
    [J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2018, 494 : 446 - 453
  • [46] On the Validity of Detrended Fluctuation Analysis at Short Scales
    Carpena, Pedro
    Gomez-Extremera, Manuel
    Bernaola-Galvan, Pedro A.
    [J]. ENTROPY, 2022, 24 (01)
  • [47] Detrended fluctuation analysis of multivariate time series
    Xiong, Hui
    Shang, P.
    [J]. COMMUNICATIONS IN NONLINEAR SCIENCE AND NUMERICAL SIMULATION, 2017, 42 : 12 - 21
  • [48] Multifractal Detrended Fluctuation Analysis of Return on Bitcoin
    Shrestha, Keshab
    [J]. INTERNATIONAL REVIEW OF FINANCE, 2021, 21 (01) : 312 - 323
  • [49] Asymmetric detrended fluctuation analysis in neonatal stress
    Sapina, Matej
    Kosmider, Marcin
    Kramaric, Karolina
    Garcin, Matthieu
    Adelson, P. David
    Piric, Marko
    Milas, Kresimir
    Brdaric, Dario
    [J]. PHYSIOLOGICAL MEASUREMENT, 2018, 39 (08)
  • [50] The fluctuation function of the detrended fluctuation analysis - investigation on the AR(1) process
    Hoell, Marc
    Kantz, Holger
    [J]. EUROPEAN PHYSICAL JOURNAL B, 2015, 88 (05):
12345