Detecting long-range correlations with detrended fluctuation analysis

@article{Kantelhardt2001DetectingLC,
  title={Detecting long-range correlations with detrended fluctuation analysis},
  author={J. Kantelhardt and E. Koscielny-Bunde and H. A. Rego and S. Havlin and A. Bunde},
  journal={Physica A-statistical Mechanics and Its Applications},
  year={2001},
  volume={295},
  pages={441-454}
}
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… Expand

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