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Zbl 1093.62506
Nagarajan, Radhakrishnan; Kavasseri, Rajesh G.
Minimizing the effect of periodic and quasi-periodic trends in detrended fluctuation analysis. (English)
[J] Chaos Solitons Fractals 26, No. 3, 777-784 (2005). ISSN 0960-0779

Summary: Detrended fluctuation analysis (DFA) has been proposed as a robust technique to determine possible long-range correlations in power-law processes. However, recent studies have reported the susceptibility of DFA to periodic trends, which can result in spurious crossovers. In this brief report, we propose a technique based on singular value decomposition to minimize the effect of both periodic as well as quasi-periodic trends in DFA estimation. The effectiveness of the proposed technique is demonstrated on publicly available data sets.

MSC 2000:: *62-99 Statistics

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