Detail publikace

Kristoufek, L.: Detrended fluctuation analysis as a regression framework: Estimating dependence at different scales

Autor: prof. PhDr. Ladislav Krištoufek Ph.D.,
Typ: Články v impaktovaných časopisech
Rok: 2015
Číslo: 0
ISSN / ISBN:
Publikováno v: Physical Review E 91, art. 022802 arXiv PDF
Místo vydání:
Klíčová slova: detrended fluctuation analysis, regression, scales, time series analysis
JEL kódy:
Citace:
Granty: GAČR 14-11402P Analýza dvoudimenzionální dlouhé paměti ve finančních časových řadách (2014-2016) GAČR P402/11/0948 Vývoj analytického rámce pro energetickou bezpečnost: Ekonometrie časových řad, teorie her, meta-analýza a teorie regulace
Abstrakt: 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.

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