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

semiparametric estimationrobustnesslong memorydetrended fluctuation analysis

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 1715060 (Why is no real title available?)
• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• scientific article; zbMATH DE number 3070807 (Why is no real title available?)
• A critical look at Lo's modified \(R/S\) statistic.
• ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
• Fractional differencing
• High breakdown-point and high efficiency robust estimates for regression
• 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
• Semi-parametric smoothing estimators for long-memory processes with added noise
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS

Cited in

(8)

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

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