| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 7383036 | Physica A: Statistical Mechanics and its Applications | 2011 | 8 Pages |
Abstract
⺠A modified DFA algorithm is proposed with the local trends determined by EMD. ⺠We also propose a modified MFDFA algorithm based on EMD. ⺠The EMD-based DFA performs better when the time series is strongly anticorrelated. ⺠The methods are applied to the SSEC index and electricity prices.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Xi-Yuan Qian, Gao-Feng Gu, Wei-Xing Zhou,