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2016•Journal of Statistical Computation and SimulationRequires access

Smoothed detrended fluctuation analysis

Raquel Romes Linhares

Open publisher page 6 citations

Abstract

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.

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What this paper is about

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.

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OpenAlex reports 6 citations for this work. Citation counts describe recorded attention and do not establish research quality.

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Available abstract

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.

Key concepts: Detrended fluctuation analysis, Mathematics, Monte Carlo method, Wavelet, Statistical physics, Gaussian, Range (aeronautics), Statistics

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