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Detecting long-range correlations with detrended fluctuation analysis

Author

Listed:
  • Kantelhardt, Jan W
  • Koscielny-Bunde, Eva
  • Rego, Henio H.A
  • Havlin, Shlomo
  • Bunde, Armin

Abstract

We examine the detrended fluctuation analysis (DFA), which is a well-established method for the detection of long-range correlations in time series. We show that deviations from scaling which appear at small time scales become stronger in higher orders of DFA, and suggest a modified DFA method to remove them. The improvement is necessary especially for short records that are affected by non-stationarities. Furthermore, we describe how crossovers in the correlation behavior can be detected reliably and determined quantitatively and show how several types of trends in the data affect the different orders of DFA.

Suggested Citation

  • Kantelhardt, Jan W & Koscielny-Bunde, Eva & Rego, Henio H.A & Havlin, Shlomo & Bunde, Armin, 2001. "Detecting long-range correlations with detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 295(3), pages 441-454.
  • Handle: RePEc:eee:phsmap:v:295:y:2001:i:3:p:441-454
    DOI: 10.1016/S0378-4371(01)00144-3
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