Detrended fluctuation analysis using orthogonal polynomials.

ABSTRACT

An alternative analysis approach, namely, orthogonal detrended fluctuation analysis (ODFA), is proposed to quantify the long-range correlation exponent. This method uses an orthogonal polynomial to attenuate any trends and quantify the (auto-) correlations in the data. The method is tested using numerically simulated data with long-range correlation. A matrix formalism of this approach is also proposed. Furthermore, the extension to high-order polynomial detrending is discussed. The proposed approach quantifies the long-range exponent with an error rate of about 8% for short datasets (3000 samples) and an error rate of about 1% for long datasets (100 000 samples). ODFA can find applications that involve processing long datasets as well as in real-time processing.