کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
975302 933023 2008 26 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Blocks adjustment-reduction of bias and variance of detrended fluctuation analysis using Monte Carlo simulation
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
پیش نمایش صفحه اول مقاله
Blocks adjustment-reduction of bias and variance of detrended fluctuation analysis using Monte Carlo simulation
چکیده انگلیسی
The length of minimal and maximal blocks equally distant on log-log scale versus fluctuation function considerably influences bias and variance of DFA. Through a number of extensive Monte Carlo simulations and different fractional Brownian motion/fractional Gaussian noise generators, we found the pair of minimal and maximal blocks that minimizes the sum of mean-squared error of estimated Hurst exponents for the series of length N=2p,p=7,…,15. Sensitivity of DFA to sort-range correlations was examined using ARFIMA(p,d,q) generator. Due to the bias of the estimator for anti-persistent processes, we narrowed down the range of Hurst exponent to 12⩽H<1.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 387, Issue 1, 1 January 2008, Pages 217-242
نویسندگان
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