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Comparing the performance of FA, DFA and DMA using different synthetic long-range correlated time series
Notwithstanding the significant efforts to develop estimators of long-range correlations (LRC) and to compare their performance, no clear consensus exists on what is the best method and under which conditions. In addition, synthetic tests suggest that the performance of LRC estimators varies when us...
Autores principales: | , , , , |
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Formato: | Online Artículo Texto |
Lenguaje: | English |
Publicado: |
Nature Publishing Group
2012
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Materias: | |
Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC3495288/ https://www.ncbi.nlm.nih.gov/pubmed/23150785 http://dx.doi.org/10.1038/srep00835 |
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author | Shao, Ying-Hui Gu, Gao-Feng Jiang, Zhi-Qiang Zhou, Wei-Xing Sornette, Didier |
author_facet | Shao, Ying-Hui Gu, Gao-Feng Jiang, Zhi-Qiang Zhou, Wei-Xing Sornette, Didier |
author_sort | Shao, Ying-Hui |
collection | PubMed |
description | Notwithstanding the significant efforts to develop estimators of long-range correlations (LRC) and to compare their performance, no clear consensus exists on what is the best method and under which conditions. In addition, synthetic tests suggest that the performance of LRC estimators varies when using different generators of LRC time series. Here, we compare the performances of four estimators [Fluctuation Analysis (FA), Detrended Fluctuation Analysis (DFA), Backward Detrending Moving Average (BDMA), and Centred Detrending Moving Average (CDMA)]. We use three different generators [Fractional Gaussian Noises, and two ways of generating Fractional Brownian Motions]. We find that CDMA has the best performance and DFA is only slightly worse in some situations, while FA performs the worst. In addition, CDMA and DFA are less sensitive to the scaling range than FA. Hence, CDMA and DFA remain “The Methods of Choice” in determining the Hurst index of time series. |
format | Online Article Text |
id | pubmed-3495288 |
institution | National Center for Biotechnology Information |
language | English |
publishDate | 2012 |
publisher | Nature Publishing Group |
record_format | MEDLINE/PubMed |
spelling | pubmed-34952882012-11-13 Comparing the performance of FA, DFA and DMA using different synthetic long-range correlated time series Shao, Ying-Hui Gu, Gao-Feng Jiang, Zhi-Qiang Zhou, Wei-Xing Sornette, Didier Sci Rep Article Notwithstanding the significant efforts to develop estimators of long-range correlations (LRC) and to compare their performance, no clear consensus exists on what is the best method and under which conditions. In addition, synthetic tests suggest that the performance of LRC estimators varies when using different generators of LRC time series. Here, we compare the performances of four estimators [Fluctuation Analysis (FA), Detrended Fluctuation Analysis (DFA), Backward Detrending Moving Average (BDMA), and Centred Detrending Moving Average (CDMA)]. We use three different generators [Fractional Gaussian Noises, and two ways of generating Fractional Brownian Motions]. We find that CDMA has the best performance and DFA is only slightly worse in some situations, while FA performs the worst. In addition, CDMA and DFA are less sensitive to the scaling range than FA. Hence, CDMA and DFA remain “The Methods of Choice” in determining the Hurst index of time series. Nature Publishing Group 2012-11-12 /pmc/articles/PMC3495288/ /pubmed/23150785 http://dx.doi.org/10.1038/srep00835 Text en Copyright © 2012, Macmillan Publishers Limited. All rights reserved http://creativecommons.org/licenses/by-nc-nd/3.0/ This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivs 3.0 Unported License. To view a copy of this license, visit http://creativecommons.org/licenses/by-nc-nd/3.0/ |
spellingShingle | Article Shao, Ying-Hui Gu, Gao-Feng Jiang, Zhi-Qiang Zhou, Wei-Xing Sornette, Didier Comparing the performance of FA, DFA and DMA using different synthetic long-range correlated time series |
title | Comparing the performance of FA, DFA and DMA using different synthetic long-range correlated time series |
title_full | Comparing the performance of FA, DFA and DMA using different synthetic long-range correlated time series |
title_fullStr | Comparing the performance of FA, DFA and DMA using different synthetic long-range correlated time series |
title_full_unstemmed | Comparing the performance of FA, DFA and DMA using different synthetic long-range correlated time series |
title_short | Comparing the performance of FA, DFA and DMA using different synthetic long-range correlated time series |
title_sort | comparing the performance of fa, dfa and dma using different synthetic long-range correlated time series |
topic | Article |
url | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC3495288/ https://www.ncbi.nlm.nih.gov/pubmed/23150785 http://dx.doi.org/10.1038/srep00835 |
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