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Effect of nonstationarities on detrended fluctuation analysis
Effect of nonstationarities on detrended fluctuation analysis
1 1,2 1 1
Zhi Chen , Plamen Ch. Ivanov , Kun Hu , H. Eugene Stanley
1 Center for Polymer Studies and Department of Physics, Boston University, Boston, Massachusetts 02215
2 Harvard Medical School, Beth Israel Deaconess Medical Center, Boston, Massachusetts 02215
Detrended fluctuation analysis (DFA) is a scaling analysis method used to quantify long-range
2 power-law correlations in signals. Many physical and biological signals are “noisy”, heterogeneous
0 and exhibit different types of nonstationarities, which can affect the correlation properties of these
0 signals. We systematically study the effects of three types of nonstationarities often encountered
2 in real data. Specifically, we consider nonstationary sequences formed in three ways: (i) stitching
r together segments of data obtained from discontinuous experimental recordings, or removing some
p noisy and unreliable parts from continuous recordings and stitching together the remaining parts
A — a “cutting” procedure commonly used in preparing data prior to signal analysis; (ii) adding to a
signal with known correlations a tunable concentration of random outliers or spikes with different
5 amplitude, and (iii) generating a signal comprised of segments with different properties — e.g.
1
different standard deviations or different correlation exponents. We compare the d
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