On the behavior of the DFA and DCCA in trend-stationary processes

@article{Prass2021OnTB,
  title={On the behavior of the DFA and DCCA in trend-stationary processes},
  author={Taiane Schaedler Prass and Guilherme Pumi},
  journal={J. Multivar. Anal.},
  year={2021},
  volume={182},
  pages={104703}
}
  • T. S. Prass, G. Pumi
  • Published 23 October 2019
  • Computer Science, Mathematics
  • J. Multivar. Anal.
In this work we develop the asymptotic theory of the Detrended Fluctuation Analysis (DFA) and Detrended Cross-Correlation Analysis (DCCA) for trend-stationary stochastic processes without any assumption on the specific form of the underlying distribution. All results are derived without the assumption of non-overlapping boxes for the polynomial fits. We prove the stationarity of the DFA and DCCA, viewed as a stochastic processes, obtain closed forms for moments up to second order, including the… Expand

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