Long-range correlation properties of stochastic time series y (i) have been investigated by
introducing the function σ 2 MA=[y (i)-(i)] 2, where (i) is the moving average of y (i), defined …

The Hurst exponent H of long range correlated series can be estimated by means of the
detrending moving average (DMA) method. The computational tool, on which the algorithm …

We calculate the Hurst exponent H (t) of several time series by dynamical implementation of
a recently proposed scaling technique: the detrending moving average (DMA). In order to …

Abstract Detrended Fluctuation Analysis is a widely used method, which aims at assessing
the level of self-similarity in time series. This method analyzes the diffusion properties of the …

A major issue in statistical physics literature is the study of the long range dependence
phenomenon usually presented in natural, social and financial processes. In particular, a big …

The theory of random functions is a very important and advanced part of modem probability
theory, which is very interesting from the mathematical point of view and has many practical …

We derive an analytical expression for the fluctuation function of the detrended fluctuation
analysis and state the relationship with the autocorrelation function for stationary processes …

Detrended fluctuation analysis (DFA) is a scaling method commonly used for detecting long-
range correlations in nonstationary time series. Applications range from financial time series …

In this work, the dynamical behavior of the US stock markets is characterized on the basis of
the temporal variations of the Hurst exponent estimated with detrended fluctuation analysis …

Due to the ubiquity of time series with long-range correlation in many areas of science and
engineering, analysis and modeling of such data is an important problem. While the field …