Search results for "detrended fluctuation analysi"
showing 10 items of 13 documents
Modified climate with long term memory in tree ring proxies
2015
ABSTRACT : A contribution to the PAGES Asia2k Working Group. ABSTRACT: Long term memory (LTM) scaling behavior in worldwide tree ring proxies and subsequent climate reconstructions is analyzed for and compared with the memory structure inherent to instrumental temperature and precipitation data. Detrended fluctuation analysis is employed to detect LTM and its scaling exponent a is used to evaluate LTM. The results show that temperature and precipitation reconstructions based on ring width measurements (mean \alpha =0.8) contain more memory than records based on maximum latewood density (mean \alpha =0.7). Both exceed the memory inherent to regional instrumental data (\alpha =0.6 for tempera…
Entropy of balance--some recent results.
2010
Abstract Background Entropy when applied to biological signals is expected to reflect the state of the biological system. However the physiological interpretation of the entropy is not always straightforward. When should high entropy be interpreted as a healthy sign, and when as marker of deteriorating health? We address this question for the particular case of human standing balance and the Center of Pressure data. Methods We have measured and analyzed balance data of 136 participants (young, n = 45; elderly, n = 91) comprising in all 1085 trials, and calculated the Sample Entropy (SampEn) for medio-lateral (M/L) and anterior-posterior (A/P) Center of Pressure (COP) together with the Hurst…
Quantifying Dynamic Balance in Young, Elderly and Parkinson's Individuals: A Systematic Review
2018
Introduction: Falling is one of the primary concerns for people with Parkinson's Disease and occurs predominately during dynamic movements, such as walking. Several methods have been proposed to quantify dynamic balance and to assess fall risk. However, no consensus has been reached concerning which method is most appropriate for examining walking balance during unperturbed and perturbed conditions, particularly in Parkinson's Disease individuals. Therefore, this systematic review aimed to assess the current literature on quantifying dynamic balance in healthy young, elderly and Parkinson's individuals during unperturbed and perturbed walking. Methods: The PubMed database was searched by ti…
Long-term persistence, invariant time scales and on-off intermittency of fog events
2021
Abstract In this work we study different characteristics of fog long-term persistence, in events with different physical formation mechanisms. Specifically, we focus on the characterization of fog long-term persistence from observational data, by means of a Detrended Fluctuation Analysis (DFA) of its associated low-visibility time series. We analyze fog events with radiation and orographic underlying physical formation mechanisms, and identify a two-range pattern of long-term persistence. Our analysis leads to the emergence of a characteristic time, τ∗, at the crossover point between different scaling exponents in the DFA, independent of the time scale at which the fog event is studied. We …
Study of Glycemic Variability Through Time Series Analyses (Detrended Fluctuation Analysis and Poincaré Plot) in Children and Adolescents with Type 1…
2016
Time series analysis provides information on blood glucose dynamics that is unattainable with conventional glycemic variability (GV) indices. To date, no studies have been published on these parameters in pediatric patients with type 1 diabetes. Our aim is to evaluate the relationship between time series analysis and conventional GV indices, and glycosylated hemoglobin (HbA1c) levels.This is a transversal study of 41 children and adolescents with type 1 diabetes. Glucose monitoring was carried out continuously for 72 h to study the following GV indices: standard deviation (SD) of glucose levels (mg/dL), coefficient of variation (%), interquartile range (IQR; mg/dL), mean amplitude of the la…
Comparative efficiency of green and conventional bonds pre- and during COVID-19: An asymmetric multifractal detrended fluctuation analysis
2021
Abstract Motivated by the lack of research on price efficiency dynamics of green bonds and the impact of the COVID-19 on the pricing of fixed-income securities, this study investigates the comparative efficiency of green and conventional bond markets pre- and during the COVID-19 pandemic applying asymmetric multifractal analysis. Specifically, the multifractal scaling behaviour is examined separately during upward and downward trends in bond markets using the asymmetric multifractal detrended fluctuation analysis (A-MF-DFA) approach. The empirical findings confirm the presence of asymmetric multifractality in the green and traditional bond markets. Not surprisingly, inefficiency in both bon…
The effect of round-off error on long memory processes
2011
We study how the round-off (or discretization) error changes the statistical properties of a Gaussian long memory process. We show that the autocovariance and the spectral density of the discretized process are asymptotically rescaled by a factor smaller than one, and we compute exactly this scaling factor. Consequently, we find that the discretized process is also long memory with the same Hurst exponent as the original process. We consider the properties of two estimators of the Hurst exponent, namely the local Whittle (LW) estimator and the Detrended Fluctuation Analysis (DFA). By using analytical considerations and numerical simulations we show that, in presence of round-off error, both…
Persistence of temperature and precipitation: from local to global anomalies
2021
Using detrended fluctuation analysis (DFA) we find that all continents are persistent in temperature. The scaling exponents of the southern hemisphere (SH) continents, i.e., South America (0.77) and Oceania (0.72) are somewhat higher than scaling exponents of Europe (0.70), Asia (0.69) and North America (0.64), but the scaling of Africa is by far the highest (0.86). The reason for this is the location of Africa near the equator. The scaling exponents of the precipitation are much smaller, i.e. between 0.55 (Europe) and 0.68 (North America). The scaling exponent of Europe is near that of the random noise (0.5), while the other continents are slightly persistent in precipitation. We also show…
FRACTALITY EVIDENCE AND LONG-RANGE DEPENDENCE ON CAPITAL MARKETS: A HURST EXPONENT EVALUATION
2014
Since the existence of market memory could implicate the rejection of the efficient market hypothesis, the aim of this paper is to find any evidence that selected emergent capital markets (eight European and BRIC markets, namely Hungary, Romania, Estonia, Czech Republic, Brazil, Russia, India and China) evince long-range dependence or the random walk hypothesis. In this paper, the Hurst exponent as calculated by R/S fractal analysis and Detrended Fluctuation Analysis is our measure of long-range dependence in the series. The results reinforce our previous findings and suggest that if stock returns present long-range dependence, the random walk hypothesis is not valid anymore and neither is…
ANALYSIS OF SUNSPOT NUMBER FLUCTUATIONS
2004
Monthly averages of the sunspot number visible on the sun, observed from 1749, Zurich Observatory, and from 1848 other observatories, have been analyzed. This time signal presents a frequency power spectra with a clear 1/fα behavior with α≃0.8±0.2. The well-known cycle of approximately 11 years, clearly present in the spectrum, does not produce a sensible distortion of that behavior. The eventual characterization of the sunspot time series as a fractal is analyzed by means of the detrended fluctuation analysis (DFA). The jump-size distribution of the signal is also studied.