Detrended fluctuation analysis as a regression framework: Estimating dependence at different scales

0452315 - ÚTIA 2016 RIV US eng J - Článek v odborném periodiku
Krištoufek, Ladislav
Detrended fluctuation analysis as a regression framework: Estimating dependence at different scales.
Physical Review E. Roč. 91, č. 1 (2015), 022802-1-022802-5. ISSN 1539-3755
Grant CEP: GA ČR(CZ) GP14-11402P
Grant ostatní: GA ČR(CZ) GAP402/11/0948
Program: GA
Institucionální podpora: RVO:67985556
Klíčová slova: Detrended cross-correlation analysis * Regression * Scales
Kód oboru RIV: AH - Ekonomie
Impakt faktor: 2.288, rok: 2014
http://library.utia.cas.cz/separaty/2015/E/kristoufek-0452315.pdf

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.
Trvalý link: http://hdl.handle.net/11104/0253720