Smoothed detrended fluctuation analysis

DOI10.1080/00949655.2016.1154965OpenAlexW2343476736MaRDI QIDQ5221536

Raquel Romes Linhares

Publication date: 1 April 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2016.1154965

zbMATH Keywords

wavelet shrinkagelong-range dependencedetrended fluctuation analysisHurst exponentfractional Gaussian noise

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05)

Related Items (1)

The ECF-WS estimator for univariate symmetric stable distributions with application in seismic trace signals

Cites Work

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• Adapting to Unknown Smoothness via Wavelet Shrinkage
• ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
• Statistical properties of detrended fluctuation analysis
• Asymptotic Properties of the Detrended Fluctuation Analysis of Long-Range-Dependent Processes
• Ideal spatial adaptation by wavelet shrinkage

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