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Detrended fluctuation analysis as a regression framework : Estimating dependence at different scales

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Kristoufek, Ladislav (2015) Detrended fluctuation analysis as a regression framework : Estimating dependence at different scales. Physical Review E, Volume 91 (Number2). Article number 022802 . doi:10.1103/PhysRevE.91.022802 ISSN 1539-3755.

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Official URL: http://dx.doi.org/10.1103/PhysRevE.91.022802

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Abstract

We propose a framework combining detrended fluctuation analysis with standard regression methodology. The method is built on detrended variances and covariances and it is designed to estimate regression parameters at different scales and under potential nonstationarity and power-law correlations. The former feature allows for distinguishing between effects for a pair of variables from different temporal perspectives. The latter ones make the method a significant improvement over the standard least squares estimation. Theoretical claims are supported by Monte Carlo simulations. The method is then applied on selected examples from physics, finance, environmental science, and epidemiology. For most of the studied cases, the relationship between variables of interest varies strongly across scales.

Item Type: Journal Article
Subjects: H Social Sciences > HA Statistics
Q Science > Q Science (General)
Q Science > QC Physics
Divisions: Faculty of Social Sciences > Warwick Business School > Behavioural Science
Faculty of Social Sciences > Warwick Business School
Journal or Publication Title: Physical Review E
Publisher: American Physical Society
ISSN: 1539-3755
Official Date: 2 February 2015
Dates:
DateEvent
2 February 2015Published
19 October 2014Submitted
Volume: Volume 91
Number: Number2
Number of Pages: 5
Article Number: Article number 022802
DOI: 10.1103/PhysRevE.91.022802
Status: Peer Reviewed
Publication Status: Published
Funder: Research Councils UK (RCUK)
Grant number: EP/K039830/1

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