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Detrended fluctuation analysis as a regression framework: Estimating dependence at different scales
- 1.0452315 - ÚTIA 2016 RIV US eng J - Journal Article
Krištoufek, Ladislav
Detrended fluctuation analysis as a regression framework: Estimating dependence at different scales.
Physical Review E. Roč. 91, č. 1 (2015), 022802-1-022802-5. ISSN 1539-3755
R&D Projects: GA ČR(CZ) GP14-11402P
Grant - others:GA ČR(CZ) GAP402/11/0948
Program: GA
Institutional support: RVO:67985556
Keywords : Detrended cross-correlation analysis * Regression * Scales
Subject RIV: AH - Economics
Impact factor: 2.288, year: 2014
http://library.utia.cas.cz/separaty/2015/E/kristoufek-0452315.pdf
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 potential nonstationarity 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 variables of interest varies strongly across scales.
Permanent Link: http://hdl.handle.net/11104/0253720
Number of the records: 1