%0 Journal Article
%T Detecting Long-range Correlations with Detrended Fluctuation Analysis
%A Jan W. Kantelhardt
%A Eva Koscielny-Bunde
%A Henio H. A. Rego
%A Shlomo Havlin
%A Armin Bunde
%J Physics
%D 2001
%I arXiv
%R 10.1016/S0378-4371(01)00144-3
%X We examine the Detrended Fluctuation Analysis (DFA), which is a well-established method for the detection of long-range correlations in time series. We show that deviations from scaling that appear at small time scales become stronger in higher orders of DFA, and suggest a modified DFA method to remove them. The improvement is necessary especially for short records that are affected by non-stationarities. Furthermore, we describe how crossovers in the correlation behavior can be detected reliably and determined quantitatively and show how several types of trends in the data affect the different orders of DFA.
%U http://arxiv.org/abs/cond-mat/0102214v1