Detrended fluctuation analysis of power-law-correlated sequences with random noises
Data Analysis, Statistics and Probability
2009-02-05 v1 Physics and Society
Abstract
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.
Keywords
Cite
@article{arxiv.0902.0678,
title = {Detrended fluctuation analysis of power-law-correlated sequences with random noises},
author = {Shin-ichi Tadaki},
journal= {arXiv preprint arXiv:0902.0678},
year = {2009}
}
Comments
12 pages, 11 figures