Detrending-moving-average-based multivariate regression model for nonstationary series.
Sign Up to like & getrecommendations! Published in 2022 at "Physical review. E"
DOI: 10.1103/physreve.105.054129
Abstract: Dependency between a response variable and the explanatory variables is a relationship of universal concern in various real-world problems. Multivariate linear regression (MLR) is a well-known method to focus on this issue. However, it is… read more here.
Keywords: mlr; regression; series; moving average ... See more keywords
Direct determination approach for the multifractal detrending moving average analysis.
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DOI: 10.1103/physreve.96.052201
Abstract: In the canonical framework, we propose an alternative approach for the multifractal analysis based on the detrending moving average method (MF-DMA). We define a canonical measure such that the multifractal mass exponent τ(q) is related… read more here.
Keywords: determination approach; detrending moving; moving average; direct determination ... See more keywords
Theoretical foundation of detrending methods for fluctuation analysis such as detrended fluctuation analysis and detrending moving average.
Sign Up to like & getrecommendations! Published in 2019 at "Physical review. E"
DOI: 10.1103/physreve.99.033305
Abstract: We present a bottom-up derivation of fluctuation analysis with detrending for the detection of long-range correlations in the presence of additive trends or intrinsic nonstationarities. While the well-known detrended fluctuation analysis (DFA) and detrending moving… read more here.
Keywords: detrended fluctuation; fluctuation; analysis detrending; fluctuation analysis ... See more keywords