AR(p)-based detrended fluctuation analysis

作者：Alvarez Ramirez J; Rodriguez E

来源：Physica A: Statistical Mechanics and Its Applications , 2018, 502: 49-57.

DOI：10.1016/j.physa.2018.02.203

• Detrended fluctuation analysis
• Detrending method
• Autoregressive model
• Crude oil market
• Bitcoin

Abstract(#br)Autoregressive models are commonly used for modeling time-series from nature, economics and finance. This work explored simple autoregressive AR ( p ) models to remove long-term trends in detrended fluctuation analysis (DFA). Crude oil prices and bitcoin exchange rate were considered, w...

• 出版日期2018-7-15