期刊
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
卷 397, 期 -, 页码 17-30出版社
ELSEVIER
DOI: 10.1016/j.physa.2013.11.029
关键词
Scaling range; Scaling exponent; Detrended Fluctuation Analysis; Multifractal Detrended Fluctuation Analysis; Crossover time scales; Time series analysis
资金
- Consejo Nacional de Investigaciones Cientificas y Tecnicas (CONICET), Argentina
We develop a criterion based on a brute-force algorithm to systematically determine optimal fitting regions for fluctuation functions in Detrended Fluctuation Analysis (DFA) and Multifractal Detrended Fluctuation Analysis (MF-DFA). We analyze and compare results with several artificially generated time series with known parameters as illustrative examples of this technique. We show that crossover time scales can also be objectively and efficiently estimated using the introduced algorithm. Finally, we employ the proposed methodology to study the scaling behavior of a natural time series: monthly sunspot data previously filtered with empirical mode decomposition (EMD); in this case we find results comparable with those found in the literature. (C) 2013 Elsevier B.V. All rights reserved.
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