Detrended fluctuation analysis as a regression framework: Estimating dependence at different scales
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F15%3A00452315" target="_blank" >RIV/67985556:_____/15:00452315 - isvavai.cz</a>
Alternative codes found
RIV/00216208:11230/15:10295382
Result on the web
<a href="http://dx.doi.org/10.1103/PhysRevE.91.022802" target="_blank" >http://dx.doi.org/10.1103/PhysRevE.91.022802</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1103/PhysRevE.91.022802" target="_blank" >10.1103/PhysRevE.91.022802</a>
Alternative languages
Result language
angličtina
Original language name
Detrended fluctuation analysis as a regression framework: Estimating dependence at different scales
Original language description
We propose a framework combining detrended fluctuation analysis with standard regression methodology. The method is built on detrended variances and covariances and it is designed to estimate regression parameters at different scales and under potentialnonstationarity and power-law correlations. The former feature allows for distinguishing between effects for a pair of variables from different temporal perspectives. The latter ones make the method a significant improvement over the standard least squares estimation. Theoretical claims are supported by Monte Carlo simulations. The method is then applied on selected examples from physics, finance, environmental science, and epidemiology. For most of the studied cases, the relationship between variablesof interest varies strongly across scales.
Czech name
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Czech description
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Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Physical Review. E
ISSN
1539-3755
e-ISSN
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Volume of the periodical
91
Issue of the periodical within the volume
1
Country of publishing house
US - UNITED STATES
Number of pages
5
Pages from-to
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UT code for WoS article
000349860900005
EID of the result in the Scopus database
2-s2.0-84922361174