IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper or follow this series

On the scaling range of power-laws originated from fluctuation analysis

  • Grech Dariusz
  • Mazur Zygmunt
Registered author(s):

    We extend our previous study of scaling range properties done for detrended fluctuation analysis (DFA) \cite{former_paper} to other techniques of fluctuation analysis (FA). The new technique called Modified Detrended Moving Average Analysis (MDMA) is introduced and its scaling range properties are examined and compared with those of detrended moving average analysis (DMA) and DFA. It is shown that contrary to DFA, DMA and MDMA techniques exhibit power law dependence of the scaling range with respect to the length of the searched signal and with respect to the accuracy $R^2$ of the fit to the considered scaling law imposed by DMA or MDMA schemes. This power law dependence is satisfied for both uncorrelated and autocorrelated data. We find also a simple generalization of this power law relation for series with different level of autocorrelations measured in terms of the Hurst exponent. Basic relations between scaling ranges for different techniques are also discussed. Our findings should be particularly useful for local FA in e.g., econophysics, finances or physiology, where the huge number of short time series has to be examined at once and wherever the preliminary check of the scaling range regime for each of the series separately is neither effective nor possible.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL: http://arxiv.org/pdf/1212.5070
    File Function: Latest version
    Download Restriction: no

    Paper provided by arXiv.org in its series Papers with number 1212.5070.

    as
    in new window

    Length:
    Date of creation: Dec 2012
    Date of revision:
    Handle: RePEc:arx:papers:1212.5070
    Contact details of provider: Web page: http://arxiv.org/

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:arx:papers:1212.5070. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.