Related papers: Consistency of detrended fluctuation analysis
In this paper we study the self-similar processes with stationary increments in a discrete-time setting. Different from the continuous-time case, it is shown that the scaling function of such a process may not take the form of a power…
We study clustering in a stochastic system of particles sliding down a fluctuating surface in one and two dimensions. In steady state, the density-density correlation function is a scaling function of separation and system size.This scaling…
Recently, Castellano and Pastor-Satorras [1] utilized the finite size scaling (FSS) theory to analyze simulation data for the contact process (CP) on scale-free networks (SFNs) and claimed that its absorbing critical behavior is not…
Since the middle of the 90's, multifractional processes have been introduced for overcoming some limitations of the classical Fractional Brownian Motion model. In their context, the Hurst parameter becomes a Holder continuous function H(?)…
In this report, a systematic analysis of hourly wind speed data obtained from three potential wind generation sites (in North Dakota) is analyzed. The power spectra of the data exhibited a power-law decay characteristic of $1/f^{\alpha}$…
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…
We present and analyze stochastic nonlinear differential equations generating signals with the power-law distributions of the signal intensity, 1/f^b noise, power-law autocorrelations and second order structural (height-height correlation)…
We introduce a tempering approach with stochastic density functional theory (sDFT), labeled t-sDFT, which reduces the statistical errors in the estimates of observable expectation values. This is achieved by rewriting the electronic density…
Taylor's fluctuation scaling (FS) has been observed in many natural and man-made systems revealing an amazing universality of the law. Here we give strong theoretical foundations for the origins and abundance of Taylor's FS in different…
We study the intermittency and noise of dislocation systems undergoing shear deformation. Simulations of a simple two-dimensional discrete dislocation dynamics model indicate that the deformation rate exhibits a power spectrum scaling of…
We use multifractal detrended fluctuation analysis (MF-DFA), to See query 1 study sunspot number fluctuations. The result of the MF-DFA shows that there are three crossover timescales in the fluctuation function. We discuss how the…
The accurate estimation of scaling exponents is central in the observational study of scale-invariant phenomena. Natural systems unavoidably provide observations over restricted intervals; consequently a stationary stochastic process (time…
We provide an alternative method for analysis of multifractal properties of time series. The new approach takes into account the behaviour of the whole multifractal profile of the generalized Hurst exponent $h(q)$ for all moment orders $q$,…
We use, for the first time, the Detrend Fluctuation Analysis (DFA) to study the correlation properties of the transmitted flux fluctuations, in the Lyman-$\alpha$ (Ly$\alpha$) Forest along the lines of sight (LOS) to QSOs, at different…
We study the temporal fluctuations in time-dependent stock prices (both individual and composite) as a stochastic phenomenon using general techniques and methods of nonequilibrium statistical mechanics. In particular, we analyze stock price…
We consider the properties of the diffusion controlled reaction A+B->0 in the steady state, where fixed currents of A and B particles are maintained at opposite edges of the system. Using renormalisation group methods, we explicitly…
A phenomenological investigation of the endogenous and exogenous dynamics in the fluctuations of capital fluxes is investigated on the Chinese stock market using mean-variance analysis, fluctuation analysis and their generalizations to…
We study the properties of memory of a financial time series adopting two different methods of analysis, the detrended fluctuation analysis (DFA) and the analysis of the power spectrum (PSA). The methods are applied on three time series:…
We propose a novel algorithm - Multifractal Cross-Correlation Analysis (MFCCA) - that constitutes a consistent extension of the Detrended Cross-Correlation Analysis (DCCA) and is able to properly identify and quantify subtle characteristics…
Eye movements during fixation of a stationary target prevent the adaptation of the photoreceptors to continuous illumination and inhibit fading of the image. These random, involuntary, small, movements are restricted at long time scales so…