Asymptotic Properties of the Detrended Fluctuation Analysis of Long-Range-Dependent Processes
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Publication:3604482
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
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- Effects of fast noises on long-range correlations
- Statistical properties of detrended fluctuation analysis
- Nonlinear filtering properties of detrended fluctuation analysis
- Time-averaged mean squared displacement ratio test for Gaussian processes with unknown diffusion coefficient
- Statistical tests of distributional scaling properties for financial return series
- Empirical anomaly measure for finite-variance processes
- Principal component analysis for non-stationary time series based on detrended cross-correlation analysis
- Modeling stock market dynamics with stochastic differential equation driven by fractional Brownian motion: a Bayesian method
- The effect of round-off error on long memory processes
- Smoothed detrended fluctuation analysis
- Detrended fluctuation analysis of cerebrovascular responses to abrupt changes in peripheral arterial pressure in rats
- On the behavior of the DFA and DCCA in trend-stationary processes
- Multiresolution wavelet analysis of noisy datasets with different measures for decomposition coefficients
- Detecting long-range correlations with detrended fluctuation analysis
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