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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
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Official URL: http://dx.doi.org/10.1103/PhysRevE.91.022802
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 | ||||||
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| Subjects: | H Social Sciences > HA Statistics Q Science > Q Science (General) Q Science > QC Physics |
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| Divisions: | Faculty of Social Sciences > Warwick Business School > Behavioural Science Faculty of Social Sciences > Warwick Business School |
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| Journal or Publication Title: | Physical Review E | ||||||
| Publisher: | American Physical Society | ||||||
| ISSN: | 1539-3755 | ||||||
| Official Date: | 2 February 2015 | ||||||
| Dates: |
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| 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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