DETRENDED FLUCTUATION ANALYSIS OF AUTOREGRESSIVE PROCESSES

• Published in: Fluctuation and noise letters Vol. 7; no. 3; pp. L249 - L255
• Main Authors: MORARIU, VASILE V., BUIMAGA-IARINCA, LUIZA, VAMOŞ, CĂLIN, ŞOLTUZ, ŞTEFAN M.
• Format: Journal Article
• Language: English
• Published: World Scientific Publishing Company 01.09.2007
• Subjects: Short-range correlation; autoregressive processes; detrended fluctuation analysis
• ISSN: 0219-4775; 1793-6780
• DOI: 10.1142/S0219477507003908

Autoregressive processes (AR) have typical short-range memory. Detrended Fluctuation Analysis (DFA) was basically designed to reveal long-range correlations in non stationary processes. However DFA can also be regarded as a suitable method to investigate both long-range and short-range correlations in non stationary and stationary systems. Applying DFA to AR processes can help understanding the non-uniform correlation structure of such processes. We systematically investigated a first order autoregressive model AR(1) by DFA and established the relationship between the interaction constant of AR(1) and the DFA correlation exponent. The higher the interaction constant the higher is the short-range correlation exponent. They are exponentially related. The investigation was extended to AR(2) processes. The presence of an interaction between distant terms with characteristic time constant in the series, in addition to a near by interaction will increase the correlation exponent and the range of correlation while the effect of a distant negative interaction will significantly decrease the range of interaction, only. This analysis demonstrate the possibility to identify an AR(1) model in an unknown DFA plot or to distinguish between AR(1) and AR(2) models.