Smoothed detrended fluctuation analysis

被引：4

作者：

Linhares, Raquel Romes ^{[1
]}

机构：

[1] Univ Fed Uberlandia, Fac Math, Uberlandia, MG, Brazil

来源：

JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION | 2016年 / 86卷 / 17期

关键词：

Long-range dependence; detrended fluctuation analysis; fractional Gaussian noise; Hurst exponent; wavelet shrinkage; LOCAL HURST EXPONENT; WAVELET SHRINKAGE; DYNAMICS;

D O I：

10.1080/00949655.2016.1154965

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

The method of detrended fluctuation analysis (DFA) is useful in revealing the extent of long-range dependence, it has successfully been applied to different fields of interest. In this paper we proposed a smoothed detrended fluctuation analysis method based on the principle of wavelet shrinkage. The procedure is illustrated and compared with the DFA method by Monte Carlo simulations on fractional Gaussian noise models.

引用

页码：3388 / 3397

页数：10

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