| bibtype |
J -
Journal Article
|
| ARLID |
0452315 |
| utime |
20240903115740.1 |
| mtime |
20151216235959.9 |
| WOS |
000349860900005 |
| SCOPUS |
84922361174 |
| DOI |
10.1103/PhysRevE.91.022802 |
| title
(primary) (eng) |
Detrended fluctuation analysis as a regression framework: Estimating dependence at different scales |
| specification |
| page_count |
5 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0021752 |
| ISSN |
1539-3755 |
| title
|
Physical Review E |
| volume_id |
91 |
| volume |
1 (2015) |
| publisher |
| name |
American Physical Society |
|
|
| keyword |
Detrended cross-correlation analysis |
| keyword |
Regression |
| keyword |
Scales |
| author
(primary) |
| ARLID |
cav_un_auth*0256902 |
| name1 |
Krištoufek |
| name2 |
Ladislav |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| share |
100 |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| project_id |
GAP402/11/0948 |
| agency |
GA ČR |
| country |
CZ |
| ARLID |
cav_un_auth*0284442 |
|
| project |
| project_id |
GP14-11402P |
| agency |
GA ČR |
| country |
CZ |
| ARLID |
cav_un_auth*0303546 |
|
| abstract
(eng) |
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. |
| reportyear |
2016 |
| RIV |
AH |
| num_of_auth |
1 |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0253720 |
| mrcbC61 |
1 |
| confidential |
S |
| mrcbT16-e |
PHYSICSFLUIDSPLASMAS|PHYSICSMATHEMATICAL |
| mrcbT16-j |
0.828 |
| mrcbT16-s |
1.183 |
| mrcbT16-4 |
Q1 |
| mrcbT16-D |
Q2 |
| mrcbT16-E |
Q1 |
| arlyear |
2015 |
| mrcbU14 |
84922361174 SCOPUS |
| mrcbU34 |
000349860900005 WOS |
| mrcbU63 |
cav_un_epca*0021752 Physical Review E 1539-3755 2470-0053 Roč. 91 č. 1 2015 , 022802-1-022802-5 American Physical Society |
|