Asymptotic Properties of the Detrended Fluctuation Analysis of Long-Range-Dependent Processes

DOI10.1109/TIT.2008.920328zbMATH Open1328.60098OpenAlexW2128793573MaRDI QIDQ3604482FDOQ3604482

Authors Imen Kammoun, Jean-Marc Bardet

Publication date 24 February 2009

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tit.2008.920328

Mathematics Subject Classification ID

Gaussian processes (60G15) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Self-similar stochastic processes (60G18)

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• Time-averaged mean squared displacement ratio test for Gaussian processes with unknown diffusion coefficient
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• Statistical tests of distributional scaling properties for financial return series
• Detecting long-range correlations with detrended fluctuation analysis
• Modeling stock market dynamics with stochastic differential equation driven by fractional Brownian motion: a Bayesian method
• On the behavior of the DFA and DCCA in trend-stationary processes
• The effect of round-off error on long memory processes
• Effects of fast noises on long-range correlations
• Nonlinear filtering properties of detrended fluctuation analysis
• Smoothed detrended fluctuation analysis
• Empirical anomaly measure for finite-variance processes
• Detrended fluctuation analysis of cerebrovascular responses to abrupt changes in peripheral arterial pressure in rats
• Principal component analysis for non-stationary time series based on detrended cross-correlation analysis

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