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SOE: Fachverband Physik sozio-ökonomischer Systeme

SOE 19: Financial Markets and Risk Management II

SOE 19.3: Vortrag

Mittwoch, 9. März 2016, 17:15–17:30, H36

Detrended fluctuation analysis as a regression framework: Estimating dependence at different scales — •Ladislav Kristoufek — Institute of Information Theory and Automation, Czech Academy of Sciences, Czech Republic — Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague, Czech Republic

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 non-stationarity 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.