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Dresden 2014 – scientific programme

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DY: Fachverband Dynamik und Statistische Physik

DY 17: Modeling and Data Analysis

DY 17.5: Talk

Wednesday, April 2, 2014, 10:45–11:00, ZEU 146

The fluctuation function of the detrended fluctuation analysis - Investigation of the AR(1) process — •Marc Höll and Holger Kantz — Max-Planck-Institut für Physik komplexer Systeme, Dresden

We derive an analytical expression for the fluctuation function of the first order autoregressive process AR(1) by means of the detrended fluctuation analysis (DFA). This process is short-range correlated and therefore the fluctuation exponent should be α=1/2. However the fluctuation function exhibits a crossover between a region with α>1/2 and the expected 1/2. We calculate the crossover point and compare it with the characteristic correlation time of the process.

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