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arXiv · 0707.1437

Detrended Fluctuation Analysis of Autoregressive Processes

V. V. Morariu·L. Buimaga-Iarinca·C. Vamos·S. Soltuz
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Abstract

Autoregressive processes (AR) have typical short-range memory. Detrended Fluctuation Analysis (DFA) was basically designed to reveal long range correlation in non stationary processes. However DFA can also be regarded as a suitable method to investigate both long-range and short range correlation in non-stationary and stationary systems. Applying DFA to AR processes can help understanding the non uniform correlation structure of such processes. We systematically investigated a first order autoregressive model AR(1) by DFA and established the relationship between the interaction constant of AR(1) and the DFA correlation exponent. The higher the interaction constant the higher is the short range correlation exponent. They are exponentially related. The investigation was extended to AR(2) processes. The presence of a distant positive interaction in addition to a near by interaction will increase the correlation exponent and the range of correlation while the effect of a distant negative interaction will decrease significantly only the range of interaction. This analysis demonstrate the possibility to identify and AR(1) model in an unknown DFA plot or to distinguish among AR(1) and AR(2) models. The analysis was performed on medium long series of 1000 terms.

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V. V. Morariu, L. Buimaga-Iarinca, C. Vamos, S. Soltuz. 2007-07-10. Detrended Fluctuation Analysis of Autoregressive Processes. https://arxiv.org/abs/0707.1437

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