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Theoretical foundation of detrending methods for fluctuation analysis such as detrended fluctuation analysis and detrending moving average
16 references·0 citing·25 second hop
Theoretical foundation of detrending methods for fluctuation analysis such as detrended fluctuation analysis and detrending moving average (2019)Theoretical foundation of detrending meth…Multifractal detrended cross-correlation analysis for two nonstationary signals (2008)Multifractal detrended cross-…Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Nonstationary Time Series (2008)Detrended Cross-Correlation A…Time-dependent Hurst exponent in financial time series (2004)Time-dependent Hurst exponent…Second-order moving average and scaling of stochastic time series (2002)Second-order moving average a…Multifractal detrended fluctuation analysis of nonstationary time series (2002)Multifractal detrended fluctu…Effect of nonstationarities on detrended fluctuation analysis (2002)Effect of nonstationarities o…Effect of trends on detrended fluctuation analysis (2001)Effect of trends on detrended…Detecting long-range correlations with detrended fluctuation analysis (2001)Detecting long-range correlat…Power spectrum and detrended fluctuation analysis: Application to daily temperatures (2000)Power spectrum and detrended …A wavelet-based joint estimator of the parameters of long-range dependence (1999)A wavelet-based joint estimat…Wavelet analysis of long-range-dependent traffic (1998)Wavelet analysis of long-rang…Indication of a Universal Persistence Law Governing Atmospheric Variability (1998)Indication of a Universal Per…Statistics for Long-Memory Processes. (1996)Statistics for Long-Memory Pr…ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY (1995)ESTIMATORS FOR LONG-RANGE DEP…Fractional Differencing (1981)Fractional DifferencingFractional Brownian Motions, Fractional Noises and Applications (1968)Fractional Brownian Motions, …Independence and Dependence (1961)The Typical Spectral Shape of an Economic Variable (1966)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Empirical properties of asset returns: stylized facts and statistical issues (2001)The Typical Spectral Shape of an Economic Variable (2001)Introduction to Econophysics (1999)Introduction to Multifractal Detrended Fluctuation Analysis in Matlab (2012)Physical approach to complex systems (2012)Noise Dressing of Financial Correlation Matrices (1999)Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series (1999)Cross-correlations between volume change and price change (2009)DCCA cross-correlation coefficient: Quantifying level of cross-correlation (2010)Some long‐run properties of geophysical records (1969)Statistics for Long-Memory Processes. (1996)A multifractal wavelet model with application to network traffic (1999)Stock market prices and long-range dependence (1999)Long-Term Storage: An Experimental Study. (1966)Wavelets and multifractal formalism for singular signals: Application to turbulence data (1991)Statistical tests for power-law cross-correlated processes (2011)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Long memory processes and fractional integration in econometrics (1996)Scaling of the distribution of fluctuations of financial market indices (1999)Long memory and regime switching (2001)Volatility Is Rough (2018)
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References

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  • 2002Multifractal detrended fluctuation analysis of nonstationary time series3,704 cited
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  • 2001Detecting long-range correlations with detrended fluctuation analysis1,415 cited
  • 2001Effect of trends on detrended fluctuation analysis1,298 cited
  • 1995ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY1,195 cited
  • 2002Effect of nonstationarities on detrended fluctuation analysis958 cited
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  • 2008Multifractal detrended cross-correlation analysis for two nonstationary signals769 cited
  • 1998Indication of a Universal Persistence Law Governing Atmospheric Variability659 cited
  • 1999A wavelet-based joint estimator of the parameters of long-range dependence511 cited
  • 2002Second-order moving average and scaling of stochastic time series408 cited
  • 2004Time-dependent Hurst exponent in financial time series

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403 cited
  • 2000Power spectrum and detrended fluctuation analysis: Application to daily temperatures388 cited
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