Tempting long-memory - on the interpretation of DFA results
By Douglas Maraun, Henning W. Rust, Jens Timmer. 2004
192 citations recorded by the source corpus.
We study the inference of long-range correlations by means of Detrended Fluctuation Analysis (DFA) and argue that power-law scaling of the fluctuation function and thus long-memory may not be assumed a priori but have to be established. This requires the investigation of the local slopes. We account for the variability characteristic for stochastic processes by calculating empirical confidence regions. Comparing a long-memory with a short-memory model shows that the inference of long-range correlations from a finite amount of data by means of DFA is not specific. We remark that scaling cannot be concluded from a straight line fit to the fluctuation function in a log-log representation. Furthermore, we show that a local slope larger than α=0.5 for large scales does not necessarily imply long-memory. We also demonstrate, that it is not valid to conclude from a finite scaling region of the fluctuation function to an equivalent scaling region of the autocorrelation function. Finally, we review DFA results for the Prague temperature data set and show that long-range correlations cannot not be concluded unambiguously.
Subfields: Computer Networks and Communications, Condensed Matter Physics, Economics and Econometrics
View Paper: https://www.semanticscholar.org/paper/07dfc3b85dd27ca465a0d5345c9e1f647efdc53c
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Citations in the corpus
- Uncertainty, entropy, scaling and hydrological stochastics. 2. Time dependence of hydrological processes and time scaling / Incertitude, entropie, effet d'échelle et propriétés stochastiques hydrologiques. 2. Dépendance temporelle des processus hydrologiques et échelle temporelle (2005, background): “…wind power (Haslett & Raftery, 1989); global or point mean temperatures (Bloomfield, 1992; Koscielny-Bunde et al., 1998; Koutsoyiannis, 2003a; Maraun et al., 2004); indexes of North Atlantic Oscillation (Stephenson et al., 2000); and tree-ring widths, which are indicators of past climate…”
- Long memory of rivers from spatial aggregation (2007, unknown): “The alternative estimation techniques, namely rescaled range analysis and detrended fluctuation analysis, are inferior in this regard, as has been shown by Hosking [1984] and Maraun et al. [2004] , respectively.”