Tempting long-memory - on the interpretation of DFA results

D. Maraun (1) , H. W. Rust (2) , J. Timmer (3)

1 Department of Physics
2 PIK - Potsdam Institute for Climate Impact Research
3 Center for Data Analysis and Modeling

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 ?=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.

Domaines: Cosmologie et astrophysique extra-galactique [astro-ph.CO]; Astrophysique [astro-ph]; Sciences de la Terre

D. Maraun, H. W. Rust, J. Timmer. Tempting long-memory - on the interpretation of DFA results. Nonlinear Processes in Geophysics, 2004, 11 (4), pp.495-503. ⟨hal-00302381⟩