Journal
JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION
Volume 86, Issue 17, Pages 3388-3397Publisher
TAYLOR & FRANCIS LTD
DOI: 10.1080/00949655.2016.1154965
Keywords
Long-range dependence; detrended fluctuation analysis; fractional Gaussian noise; Hurst exponent; wavelet shrinkage
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The method of detrended fluctuation analysis (DFA) is useful in revealing the extent of long-range dependence, it has successfully been applied to different fields of interest. In this paper we proposed a smoothed detrended fluctuation analysis method based on the principle of wavelet shrinkage. The procedure is illustrated and compared with the DFA method by Monte Carlo simulations on fractional Gaussian noise models.
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