DeltaDFA {DFA}

log-amplitude Detrended Fluctuation Analysis (DeltaDFA)

Description

Applies the log-amplitude Detrended Fluctuation Analysis (DFA) to nonstationary time series.

Usage

DeltaDFA(file,file2,scale = 2^(1/8),box_size = 4,m=1)

Arguments

file

Univariate time series (must be a vector or data frame)

file2

Univariate time series (must be a vector or data frame)

scale

Specifies the ratio between successive box sizes (by default scale = 2^(1/8))

box_size

Vector of box sizes (must be used in conjunction with scale = "F")

m

An integer of the polynomial order for the detrending (by default m=1).

Details

The DFA log-amplitude fluctuation can be computed in a geometric scale or for different choices of boxes sizes.

Value

boxe

Size n of the overlapping boxes.

DeltaDFA

log-amplitude Detrended Fluctuation function defined as the difference between the DFA decimal logarithmic of the first time series (file) and the DFA decimal logarithmic of the second time series (file2)

Note

The time series file and file2 must have the same sample size.

Author(s)

Victor Barreto Mesquita

References

G. F. Zebende, F. M. Oliveira Filho, J. A. L. Cruz, Auto-correlationin the motor/imaginary human eeg signals: A vision about the fdfafluctuations, PloS one 12 (9) (2017).

F. Oliveira Filho, J. L. Cruz, G. Zebende, Analysis of the eeg bio-signalsduring the reading task by dfa method, Physica A: Statistical Mechanicsand its Applications 525 (2019) 664-671.

S. R. Hirekhan, R. R. Manthalkar, The detrended fluctuation and cross-correlation analysis of eeg signals, International Journal of IntelligentSystems Design and Computing 2 (2) (2018) .

Examples

#The following examples using the database of financial time series
#collected during the United States bear market of 2007-2009.

library(DFA)
data("NYA2008")
data("IXIC2008")
file = NYA2008
file2= IXIC2008

DeltaDFA(file,file2,scale = 2^(1/8),box_size = c(4,8,16),m=1)


# Example with different polynomial fit order.

library(DFA)
data("NYA2008")
data("LSE.L2008")
file = NYA2008
file2= LSE.L2008

DeltaDFA(file,file2,scale = 2^(1/8),box_size = c(4,8,16),m=2)


# Example using differente choice of overlapping boxes sizes.

library(DFA)
data("NYA2008")
data("IXIC2008")
file = NYA2008
file2= IXIC2008

DeltaDFA(file,file2,scale = "F",box_size = c(4,8,16),m=1)