{
  "id": "0708.1628",
  "version": "v1",
  "published": "2007-08-12T20:53:18.000Z",
  "updated": "2007-08-12T20:53:18.000Z",
  "title": "Blocks adjustment -- reduction of bias and variance of detrended fluctuation analysis using Monte Carlo simulation",
  "authors": [
    "Sebastian Michalski"
  ],
  "comment": "20 pages, 14 figures, accepted for publication in Physica A: August 9, 2007",
  "doi": "10.1016/j.physa.2007.08.018",
  "categories": [
    "cond-mat.stat-mech"
  ],
  "abstract": "The length of minimal and maximal blocks equally distant on log-log scale versus fluctuation function considerably influences bias and variance of DFA. Through a number of extensive Monte Carlo simulations and different fractional Brownian motion/fractional Gaussian noise generators, we found the pair of minimal and maximal blocks that minimizes the sum of mean-squared error of estimated Hurst exponents for the series of length N=2^p, p=7,...,15. Sensitivity of DFA to sort-range correlations was examined using ARFIMA(p,d,q) generator. Due to the bias of the estimator for anti-persistent processes, we narrowed down the range of Hurst exponent to 1/2<=H< 1.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2007-08-12T20:53:18.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "monte carlo simulation",
      "detrended fluctuation analysis",
      "blocks adjustment",
      "function considerably influences bias",
      "brownian motion/fractional gaussian noise generators"
    ],
    "tags": [
      "journal article"
    ],
    "publication": {
      "journal": "Physica A Statistical Mechanics and its Applications",
      "year": 2008,
      "month": "Jan",
      "volume": 387,
      "number": 1,
      "pages": 217
    },
    "note": {
      "typesetting": "TeX",
      "pages": 20,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2008PhyA..387..217M"
    }
  }
}