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| Titel |
Tempting long-memory - on the interpretation of DFA results |
| VerfasserIn |
D. Maraun, H. W. Rust, J. Timmer |
| Medientyp |
Artikel
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| Sprache |
Englisch
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| ISSN |
1023-5809
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| Digitales Dokument |
URL |
| Erschienen |
In: Nonlinear Processes in Geophysics ; 11, no. 4 ; Nr. 11, no. 4 (2004-11-10), S.495-503 |
| Datensatznummer |
250009330
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| Publikation (Nr.) |
 copernicus.org/npg-11-495-2004.pdf |
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| Zusammenfassung |
| We study the inference of long-range correlations by means of
Detrended Fluctuation Analysis (DFA) and argue that power-law
scaling of the fluctuation function and thus long-memory may not be
assumed a priori but have to be established. This requires the
investigation of the local slopes. We account for the variability
characteristic for stochastic processes by calculating empirical
confidence regions. Comparing a long-memory with a short-memory
model shows that the inference of long-range correlations from a
finite amount of data by means of DFA is not specific. We remark
that scaling cannot be concluded from a straight line fit to the
fluctuation function in a log-log representation. Furthermore, we
show that a local slope larger than α=0.5 for large scales
does not necessarily imply long-memory. We also demonstrate, that
it is not valid to conclude from a finite scaling region of the
fluctuation function to an equivalent scaling region of the
autocorrelation function. Finally, we review DFA results for the
Prague temperature data set and show that long-range correlations
cannot not be concluded unambiguously. |
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