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Revisiting detrended fluctuation analysis.

ABSTRACT: Half a century ago Hurst introduced Rescaled Range (R/S) Analysis to study fluctuations in time series. Thousands of works have investigated or applied the original methodology and similar techniques, with Detrended Fluctuation Analysis becoming preferred due to its purported ability to mitigate nonstationaries. We show Detrended Fluctuation Analysis introduces artifacts for nonlinear trends, in contrast to common expectation, and demonstrate that the empirically observed curvature induced is a serious finite-size effect which will always be present. Explicit detrending followed by measurement of the diffusional spread of a signals' associated random walk is preferable, a surprising conclusion given that Detrended Fluctuation Analysis was crafted specifically to replace this approach. The implications are simple yet sweeping: there is no compelling reason to apply Detrended Fluctuation Analysis as it 1) introduces uncontrolled bias; 2) is computationally more expensive than the unbiased estimator; and 3) cannot provide generic or useful protection against nonstationaries.

SUBMITTER: Bryce RM

PROVIDER: S-EPMC3303145 | biostudies-other | 2012

REPOSITORIES: biostudies-other

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