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Establishing the relation between detrended fluctuation analysis and power spectral density analysis for stochastic processes

Abstract:

Stochastic fractal signals can be characterized by the Hurst coefficient H, which is related to the exponents of various power-law statistics characteristic of these processes. Two techniques widely used to estimate H are spectral analysis and detrended fluctuation analysis (DFA). This paper examines the analytical link between these two measures and shows that they are related through an integral transform. Numerical simulations confirm this relationship for ideal synthesized fractal signals...

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Publisher copy:
10.1103/physreve.62.6103

Authors


Journal:
Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics
Volume:
62
Issue:
5 Pt A
Pages:
6103-6110
Publication date:
2000-11-05
DOI:
ISSN:
1063-651X
URN:
uuid:81bbc20a-de2b-4f74-a07d-5707dc7f8f31
Source identifiers:
195331
Local pid:
pubs:195331
Language:
English

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