Time and frequency domain characteristics of detrending-operation-based scaling analysis: Exact DFA and DMA frequency responses

• Published in: Physical review. E Vol. 94; no. 1-1; p. 012111
• Main Authors: Kiyono, Ken, Tsujimoto, Yutaka
• Format: Journal Article
• Language: English
• Published: United States 11.07.2016
• ISSN: 2470-0053
• DOI: 10.1103/physreve.94.012111

We develop a general framework to study the time and frequency domain characteristics of detrending-operation-based scaling analysis methods, such as detrended fluctuation analysis (DFA) and detrending moving average (DMA) analysis. In this framework, using either the time or frequency domain approach, the frequency responses of detrending operations are calculated analytically. Although the frequency domain approach based on conventional linear analysis techniques is only applicable to linear detrending operations, the time domain approach presented here is applicable to both linear and nonlinear detrending operations. Furthermore, using the relationship between the time and frequency domain representations of the frequency responses, the frequency domain characteristics of nonlinear detrending operations can be obtained. Based on the calculated frequency responses, it is possible to establish a direct connection between the root-mean-square deviation of the detrending-operation-based scaling analysis and the power spectrum for linear stochastic processes. Here, by applying our methods to DFA and DMA, including higher-order cases, exact frequency responses are calculated. In addition, we analytically investigate the cutoff frequencies of DFA and DMA detrending operations and show that these frequencies are not optimally adjusted to coincide with the corresponding time scale.