Statistical properties of detrended fluctuation analysis

DOI10.1080/00949650902755152MaRDI QIDQ3589964zbMATH OpenOpenAlexWikidataFDO

Authors Nuno Crato, Raquel Romes Linhares, Sílvia R. C. Lopes

Publication date 17 September 2010

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949650902755152

zbMATH Keywords

detrended fluctuation analysislong memoryrobustnesssemiparametric estimation

Mathematics Subject Classification ID

Robustness and adaptive procedures (parametric inference) (62F35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

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• Fractional differencing
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• scientific article; zbMATH DE number 3070807 (Why is no real title available?)
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• Least Median of Squares Regression
• Log-periodogram regression of time series with long range dependence
• Long-Term Memory in Stock Market Prices
• Mathematics of genome analysis
• On the power of \(R\)/\(S\)-type tests under contiguous and semi-long memory alternatives
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• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS

Cited in

(8)

• On the behavior of the DFA and DCCA in trend-stationary processes
• Nonlinear filtering properties of detrended fluctuation analysis
• Two-dimensional matrix algorithm using detrended fluctuation analysis to distinguish Burkitt and diffuse large B-cell lymphoma
• New algorithms for Luria-Delbrück fluctuation analysis
• Randomized multifractal detrended fluctuation analysis of long time series
• Asymptotic Properties of the Detrended Fluctuation Analysis of Long-Range-Dependent Processes
• \(\alpha\)-stable laws for noncoding regions in DNA sequences
• Smoothed detrended fluctuation analysis

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