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Statistical properties of detrended fluctuation analysis
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Orientador(es)
Resumo(s)
The main goal of this work is to consider the detrended fluctuation analysis (DFA), proposed by Peng et al. [Mosaic organization of DNA nucleotides, Phys. Rev. E. 49(5) (1994), 1685–1689]. This is a wellknown method for analysing the long-range dependence in non-stationary time series. Here we describe the DFA method and we prove its consistency and its exact distribution, based on the usual i.i.d. assumption, as an estimator for the fractional parameter d. In the literature it is well established that the nucleotide sequences present long-range dependence property. In this work, we analyse the long dependence property in view of the autoregressive moving average fractionally integrated ARFIMA(p, d, q) processes through the analysis of four nucleotide sequences. For estimating the fractional parameter d we consider the semiparametric regression method based on the periodogram function, in both classical and robust versions; the semiparametric R/S(n) method, proposed by Hurst [Long term storage in reservoirs, Trans. Am. Soc. Civil Eng. 116 (1986), 770–779] and the maximum likelihood method (see [R. Fox and M.S. Taqqu, Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series, Ann. Statist. 14 (1986), 517–532]), by considering the approximation suggested by Whittle [Hypothesis Testing in Time Series Analysis (1953), Hafner, New York]..
Descrição
Palavras-chave
Long Memory Detrended Fluctuation Analysis Semiparametric Estimation Robustness
Contexto Educativo
Citação
Crato, Nuno; R.R. Linhares and Sílvia R. C. Lopes .(2010). “Statistical properties of detrended fluctuation analysis”. Journal of Statistical Computation and Simulation, Vol. 80, No. 6: pp. 625-641. (Search PDF in 2023).
Editora
Taylor & Francis