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arXiv · 1206.1007

On the scaling ranges of detrended fluctuation analysis for long-memory correlated short series of data

Dariusz Grech·Zygmunt Mazur
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Abstract

We examine the scaling regime for the detrended fluctuation analysis (DFA) - the most popular method used to detect the presence of long memory in data and the fractal structure of time series. First, the scaling range for DFA is studied for uncorrelated data as a function of length $L$ of time series and regression line coefficient $R^2$ at various confidence levels. Next, an analysis of artificial short series with long memory is performed. In both cases the scaling range $λ$ is found to change linearly -- both with $L$ and $R^2$. We show how this dependence can be generalized to a simple unified model describing the relation $λ=λ(L, R^2, H)$ where $H$ ($1/2\leq H \leq 1$) stands for the Hurst exponent of long range autocorrelated data. Our findings should be useful in all applications of DFA technique, particularly for instantaneous (local) DFA where enormous number of short time series has to be examined at once, without possibility for preliminary check of the scaling range of each series separately.

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Dariusz Grech, Zygmunt Mazur. 2012-06-05. On the scaling ranges of detrended fluctuation analysis for long-memory correlated short series of data. https://doi.org/10.1016/j.physa.2013.01.049

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