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Here we propose a method, based on detrended covariance which we call detrended cross-correlation analysis (DXA), to investigate power-law cross-correlations between different simultaneously-recorded time series in the presence of…

Statistical Finance · Quantitative Finance 2009-11-13 Boris Podobnik , H. Eugene Stanley

Huang's Empirical Mode Decomposition (EMD) is an algorithm for analyzing nonstationary data that provides a localized time-frequency representation by decomposing the data into adaptively defined modes. EMD can be used to estimate a…

Data Analysis, Statistics and Probability · Physics 2010-08-26 Daniel N. Kaslovsky , Francois G. Meyer

An analytical formula for the contributions of the trend leftovers in DFA method is presented, based upon which the crossovers in DFA are investigated in detail. This general formula can explain the calculated results with DFA method for…

Statistical Mechanics · Physics 2007-05-23 Huijie Yang , Fangcui Zhao , Xizhen Wu , Zhuxia Li , Yizhong Zhuo

Detrended fluctuation analysis is used to investigate power law relationship between the monthly averages of the maximum daily temperatures for different locations in the western US. On the map created by the power law exponents, we can…

Statistical Mechanics · Physics 2007-05-23 M. L. Kurnaz

Detrended fluctuation analysis (DFA) has been used widely to determine possible long-range correlations in data obtained from diverse settings. In a recent study [1], uncorrelated random spikes superimposed on the long-range correlated…

Statistical Mechanics · Physics 2007-05-23 Radhakrishnan Nagarajan

In this paper, we introduce a new adaptive data analysis method to study trend and instantaneous frequency of nonlinear and non-stationary data. This method is inspired by the Empirical Mode Decomposition method (EMD) and the recently…

Numerical Analysis · Mathematics 2012-02-28 Thomas Y. hou , Zuoqiang Shi

Electric field variations that appear before rupture have been recently studied by employing the detrended fluctuation analysis (DFA) as a scaling method to quantify long-range temporal correlations. These studies revealed that seismic…

Statistical Mechanics · Physics 2015-05-18 E. S. Skordas , N. V. Sarlis , P. A. Varotsos

Empirical Mode Decomposition(EMD) is an adaptive data analysis technique for analyzing nonlinear and nonstationary data[1]. EMD decomposes the original data into a number of Intrinsic Mode Functions(IMFs)[1] for giving better physical…

Methodology · Statistics 2016-01-27 Sumit Kumar Ram , Marta Molinas

The scaling function $F(s)$ in detrended fluctuation analysis (DFA) scales as $F(s)\sim s^{H}$ for stochastic processes with Hurst exponents $H$. We prove this scaling law for both stationary stochastic processes with $0<H<1$, and…

Statistics Theory · Mathematics 2018-02-20 Ola Løvsletten

This paper extends the existing literature on empirical estimation of the confidence intervals associated to the Detrended Fluctuation Analysis (DFA). We used Montecarlo simulation to evaluate the confidence intervals. Varying the…

Statistical Finance · Quantitative Finance 2016-02-02 Alessandro Stringhi , Silvia Figini

We describe an algorithm for simulating ultrasound propagation in random one-dimensional media, mimicking different microstructures by choosing physical properties such as domain sizes and mass densities from probability distributions. By…

Data Analysis, Statistics and Probability · Physics 2015-06-11 Paulo G. Normando , Romao S. Nascimento , Elineudo P. Moura , Andre P. Vieira

This work presents the application of Multifractal Detrended Fluctuation Analysis for the surface electromyography signals obtained from the patients suffering from rectal cancer. The electrical activity of an external anal sphincter at…

Medical Physics · Physics 2017-09-20 Paulina Trybek , Michal Nowakowski , Lukasz Machura

Multivariate or multichannel data have become ubiquitous in many modern scientific and engineering applications, e.g., biomedical engineering, owing to recent advances in sensor and computing technology. Processing these data sets is…

Signal Processing · Electrical Eng. & Systems 2020-05-26 Sikender Gul , Muhammad Faisal Siddiqui , Naveed Ur Rehman

Signal decomposition is an effective tool to assist the identification of modal information in time-domain signals. Two signal decomposition methods, including the empirical wavelet transform (EWT) and Fourier decomposition method (FDM),…

Signal Processing · Electrical Eng. & Systems 2023-01-31 Wei Zhou , Zhongren Feng , Y. F. Xu , Xiongjiang Wang , Hao Lv

Modal decomposition techniques are important tools for the analysis of unsteady flows and, in order to provide meaningful insights with respect to coherent structures and their characteristic frequencies, the modes must possess a robust…

Fluid Dynamics · Physics 2023-08-24 Lucas F. de Souza , Renato F. Miotto , William R. Wolf

The earth's ionosphere is well recognized as a dynamical system and non-linearly coupled with the magnetosphere above and natural atmosphere below.The shape and time variability of the ionosphere indeed shows chaos, pattern formation,…

Earth and Planetary Astrophysics · Physics 2013-12-13 H. J. Tanna , K. N. Pathak

Different routing strategies may result in different behaviors of traffic on internet. We analyze the correlation of traffic data for three typical routing strategies by the detrended fluctuation analysis (DFA) and find that the degree of…

Networking and Internet Architecture · Computer Science 2008-06-12 Xiaoyan Zhu , Zonghua Liu , Ming Tang

We use some fractal analysis methods to study river flow fluctuations. The result of the Multifractal Detrended Fluctuation Analysis (MF-DFA) shows that there are two crossover timescales at $s_{1\times}\sim12$ and $s_{2\times}\sim130$…

Data Analysis, Statistics and Probability · Physics 2015-06-26 M. Sadegh Movahed , Evalds Hermanis

In this paper, a novel decomposition method for non-stationary and nonlinear signals is proposed. This method is inspired by the adaptive wavelet filter bank of the empirical wavelet transform (EWT) and Fourier intrinsic band functions…

Signal Processing · Electrical Eng. & Systems 2019-12-03 Wei Zhou , Zhongren Feng , Xiongjiang Wang , Hao Lv

The superfamily phenomenon of time series with different dynamics can be characterized by the motif rank patterns observed in the nearest-neighbor networks of the time series in phase space. However, the determinants of superfamily…

Statistical Finance · Quantitative Finance 2010-11-22 Chuang Liu , Wei-Xing Zhou