A criterion for the determination of optimal scaling ranges in DFA and MF-DFA

Autores
Gulich, Maximiliano Damián; Zunino, Luciano José
Año de publicación
2014
Idioma
inglés
Tipo de recurso
artículo
Estado
versión publicada
Descripción
We develop a criterion based on a brute-force algorithm to systematically determine optimal fitting regions for fluctuation functions in Detrended Fluctuation Analysis (DFA) and Multifractal Detrended Fluctuation Analysis (MF-DFA). We analyze and compare results with several artificially generated time series with known parameters as illustrative examples of this technique. We show that crossover time scales can also be objectively and efficiently estimated using the introduced algorithm. Finally, we employ the proposed methodology to study the scaling behavior of a natural time series: monthly sunspot data previously filtered with empirical mode decomposition (EMD); in this case we find results comparable with those found in the literature.
Fil: Gulich, Maximiliano Damián. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico La Plata. Centro de Investigaciones Opticas (i); Argentina. Provincia de Buenos Aires. Gobernación. Comisión de Investigaciones Científicas; Argentina. Universidad Nacional de La Plata. Facultad de Ingenieria; Argentina. Universidad Nacional de la Plata. Facultad de Ciencias Exactas. Departamento de Física; Argentina
Fil: Zunino, Luciano José. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico La Plata. Centro de Investigaciones Opticas (i); Argentina. Provincia de Buenos Aires. Gobernación. Comisión de Investigaciones Científicas; Argentina. Universidad Nacional de La Plata. Facultad de Ingenieria; Argentina
Materia
Scaling Range
Scaling Exponent
Detrended Fluctuation Analysis
Multifractal Detrended Fluctuation Analysis
Crossover Time Scales
Time Series Analysis
Nivel de accesibilidad
acceso abierto
Condiciones de uso
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
Repositorio
CONICET Digital (CONICET)
Institución
Consejo Nacional de Investigaciones Científicas y Técnicas
OAI Identificador
oai:ri.conicet.gov.ar:11336/11844
Acceder
id CONICETDig_250b8339bfa8f561895948136d960f0a
oai_identifier_str oai:ri.conicet.gov.ar:11336/11844
network_acronym_str CONICETDig
repository_id_str 3498
network_name_str CONICET Digital (CONICET)
spelling A criterion for the determination of optimal scaling ranges in DFA and MF-DFAGulich, Maximiliano DamiánZunino, Luciano JoséScaling RangeScaling ExponentDetrended Fluctuation AnalysisMultifractal Detrended Fluctuation AnalysisCrossover Time ScalesTime Series Analysishttps://purl.org/becyt/ford/1.3https://purl.org/becyt/ford/1We develop a criterion based on a brute-force algorithm to systematically determine optimal fitting regions for fluctuation functions in Detrended Fluctuation Analysis (DFA) and Multifractal Detrended Fluctuation Analysis (MF-DFA). We analyze and compare results with several artificially generated time series with known parameters as illustrative examples of this technique. We show that crossover time scales can also be objectively and efficiently estimated using the introduced algorithm. Finally, we employ the proposed methodology to study the scaling behavior of a natural time series: monthly sunspot data previously filtered with empirical mode decomposition (EMD); in this case we find results comparable with those found in the literature.Fil: Gulich, Maximiliano Damián. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico La Plata. Centro de Investigaciones Opticas (i); Argentina. Provincia de Buenos Aires. Gobernación. Comisión de Investigaciones Científicas; Argentina. Universidad Nacional de La Plata. Facultad de Ingenieria; Argentina. Universidad Nacional de la Plata. Facultad de Ciencias Exactas. Departamento de Física; ArgentinaFil: Zunino, Luciano José. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico La Plata. Centro de Investigaciones Opticas (i); Argentina. Provincia de Buenos Aires. Gobernación. Comisión de Investigaciones Científicas; Argentina. Universidad Nacional de La Plata. Facultad de Ingenieria; ArgentinaElsevier Science2014-03info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_6501info:ar-repo/semantics/articuloapplication/pdfapplication/pdfhttp://hdl.handle.net/11336/11844Gulich, Maximiliano Damián; Zunino, Luciano José; A criterion for the determination of optimal scaling ranges in DFA and MF-DFA; Elsevier Science; Physica A: Statistical Mechanics And Its Applications; 397; 3-2014; 17-300378-4371enginfo:eu-repo/semantics/altIdentifier/doi/10.1016/j.physa.2013.11.029info:eu-repo/semantics/altIdentifier/url/http://www.sciencedirect.com/science/article/pii/S0378437113010960info:eu-repo/semantics/openAccesshttps://creativecommons.org/licenses/by-nc-sa/2.5/ar/reponame:CONICET Digital (CONICET)instname:Consejo Nacional de Investigaciones Científicas y Técnicas2025-09-03T09:53:11Zoai:ri.conicet.gov.ar:11336/11844instacron:CONICETInstitucionalhttp://ri.conicet.gov.ar/Organismo científico-tecnológicoNo correspondehttp://ri.conicet.gov.ar/oai/requestdasensio@conicet.gov.ar; lcarlino@conicet.gov.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:34982025-09-03 09:53:12.022CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicasfalse
dc.title.none.fl_str_mv A criterion for the determination of optimal scaling ranges in DFA and MF-DFA
title A criterion for the determination of optimal scaling ranges in DFA and MF-DFA
spellingShingle A criterion for the determination of optimal scaling ranges in DFA and MF-DFA
Gulich, Maximiliano Damián
Scaling Range
Scaling Exponent
Detrended Fluctuation Analysis
Multifractal Detrended Fluctuation Analysis
Crossover Time Scales
Time Series Analysis
title_short A criterion for the determination of optimal scaling ranges in DFA and MF-DFA
title_full A criterion for the determination of optimal scaling ranges in DFA and MF-DFA
title_fullStr A criterion for the determination of optimal scaling ranges in DFA and MF-DFA
title_full_unstemmed A criterion for the determination of optimal scaling ranges in DFA and MF-DFA
title_sort A criterion for the determination of optimal scaling ranges in DFA and MF-DFA
dc.creator.none.fl_str_mv Gulich, Maximiliano Damián
Zunino, Luciano José
author Gulich, Maximiliano Damián
author_facet Gulich, Maximiliano Damián
Zunino, Luciano José
author_role author
author2 Zunino, Luciano José
author2_role author
dc.subject.none.fl_str_mv Scaling Range
Scaling Exponent
Detrended Fluctuation Analysis
Multifractal Detrended Fluctuation Analysis
Crossover Time Scales
Time Series Analysis
topic Scaling Range
Scaling Exponent
Detrended Fluctuation Analysis
Multifractal Detrended Fluctuation Analysis
Crossover Time Scales
Time Series Analysis
purl_subject.fl_str_mv https://purl.org/becyt/ford/1.3
https://purl.org/becyt/ford/1
dc.description.none.fl_txt_mv We develop a criterion based on a brute-force algorithm to systematically determine optimal fitting regions for fluctuation functions in Detrended Fluctuation Analysis (DFA) and Multifractal Detrended Fluctuation Analysis (MF-DFA). We analyze and compare results with several artificially generated time series with known parameters as illustrative examples of this technique. We show that crossover time scales can also be objectively and efficiently estimated using the introduced algorithm. Finally, we employ the proposed methodology to study the scaling behavior of a natural time series: monthly sunspot data previously filtered with empirical mode decomposition (EMD); in this case we find results comparable with those found in the literature.
Fil: Gulich, Maximiliano Damián. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico La Plata. Centro de Investigaciones Opticas (i); Argentina. Provincia de Buenos Aires. Gobernación. Comisión de Investigaciones Científicas; Argentina. Universidad Nacional de La Plata. Facultad de Ingenieria; Argentina. Universidad Nacional de la Plata. Facultad de Ciencias Exactas. Departamento de Física; Argentina
Fil: Zunino, Luciano José. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico La Plata. Centro de Investigaciones Opticas (i); Argentina. Provincia de Buenos Aires. Gobernación. Comisión de Investigaciones Científicas; Argentina. Universidad Nacional de La Plata. Facultad de Ingenieria; Argentina
description We develop a criterion based on a brute-force algorithm to systematically determine optimal fitting regions for fluctuation functions in Detrended Fluctuation Analysis (DFA) and Multifractal Detrended Fluctuation Analysis (MF-DFA). We analyze and compare results with several artificially generated time series with known parameters as illustrative examples of this technique. We show that crossover time scales can also be objectively and efficiently estimated using the introduced algorithm. Finally, we employ the proposed methodology to study the scaling behavior of a natural time series: monthly sunspot data previously filtered with empirical mode decomposition (EMD); in this case we find results comparable with those found in the literature.
publishDate 2014
dc.date.none.fl_str_mv 2014-03
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
http://purl.org/coar/resource_type/c_6501
info:ar-repo/semantics/articulo
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv http://hdl.handle.net/11336/11844
Gulich, Maximiliano Damián; Zunino, Luciano José; A criterion for the determination of optimal scaling ranges in DFA and MF-DFA; Elsevier Science; Physica A: Statistical Mechanics And Its Applications; 397; 3-2014; 17-30
0378-4371
url http://hdl.handle.net/11336/11844
identifier_str_mv Gulich, Maximiliano Damián; Zunino, Luciano José; A criterion for the determination of optimal scaling ranges in DFA and MF-DFA; Elsevier Science; Physica A: Statistical Mechanics And Its Applications; 397; 3-2014; 17-30
0378-4371
dc.language.none.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv info:eu-repo/semantics/altIdentifier/doi/10.1016/j.physa.2013.11.029
info:eu-repo/semantics/altIdentifier/url/http://www.sciencedirect.com/science/article/pii/S0378437113010960
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
eu_rights_str_mv openAccess
rights_invalid_str_mv https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.publisher.none.fl_str_mv Elsevier Science
publisher.none.fl_str_mv Elsevier Science
dc.source.none.fl_str_mv reponame:CONICET Digital (CONICET)
instname:Consejo Nacional de Investigaciones Científicas y Técnicas
reponame_str CONICET Digital (CONICET)
collection CONICET Digital (CONICET)
instname_str Consejo Nacional de Investigaciones Científicas y Técnicas
repository.name.fl_str_mv CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicas
repository.mail.fl_str_mv dasensio@conicet.gov.ar; lcarlino@conicet.gov.ar
_version_ 1842269207625990144
score 13.13397

Publicaciones similares