mvDFA

Multivariate Detrended Fluctuation Analysis

Sebastian Wallot, Julien Patrick Irmer

Last update: 15 June 2023

Copyright license: GNU General Public License, version 3.0

Software version identifier: 0.0.4

Description

This R package provides an implementation of multivariate extensions of a well-known fractal analysis technique, Detrended Fluctuations Analysis (DFA; Peng et al., 1995<doi:10.1063/1.166141>), for multivariate time series: multivariate DFA (mvDFA). Several coefficients are implemented that take into account the correlation structure of the multivariate time series to varying degrees. These coefficients may be used to analyze long memory and changes in the dynamic structure that would by univariate DFA. Therefore, this R package aims to extend and complement the original univariate DFA (Peng et al., 1995) for estimating the scaling properties of nonstationary time series.

Cites work

Quantification of scaling exponents and crossover phenomena in nonstationary heartbeat time series

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