Theoretical foundation of detrending methods for fluctuation analysis such as detrended fluctuation analysis and detrending moving average

Multiple serial correlations in global air temperature anomaly time series

Serial correlations within temperature time series serve as indicators of the temporal consistency of climate events. This study delves into the serial correlations embedded in global surface air temperature (SAT) data. Initially, we preprocess the SAT time series to eradicate seasonal patterns and linear trends, resulting in the SAT anomaly time series, which encapsulates the inherent variability of Earth's climate system. Employing diverse statistical techniques, we identify three distinct types of serial correlations: short-term, long-term, and nonlinear. To identify short-term correlations, we utilize the first-order autoregressive model, AR(1), revealing a global pattern that can be partially attributed to atmospheric Rossby waves in extratropical regions and the Eastern Pacific warm pool. For long-term correlations, we adopt the standard detrended fluctuation analysis, finding that the global pattern aligns with long-term climate variability, such as the El Niño-Southern Oscillation (ENSO) over the Eastern Pacific. Furthermore, we apply the horizontal visibility graph (HVG) algorithm to transform the SAT anomaly time series into complex networks. The topological parameters of these networks aptly capture the long-term correlations present in the data. Additionally, we introduce a novel topological parameter, Δσ, to detect nonlinear correlations. The statistical significance of this parameter is rigorously tested using the Monte Carlo method, simulating fractional Brownian motion and fractional Gaussian noise processes with a predefined DFA exponent to estimate confidence intervals. In conclusion, serial correlations are universal in global SAT time series and the presence of these serial correlations should be considered carefully in climate sciences.

Older adults and individuals with Parkinson's disease control posture along suborthogonal directions that deviate from the traditional anteroposterior and mediolateral directions

A rich and complex temporal structure of variability in postural sway characterizes healthy and adaptable postural control. However, neurodegenerative disorders such as Parkinson's disease, which often manifest as tremors, rigidity, and bradykinesia, disrupt this healthy variability. This study examined postural sway in young and older adults, including individuals with Parkinson's disease, under different upright standing conditions to investigate the potential connection between the temporal structure of variability in postural sway and Parkinsonism. A novel and innovative method called oriented fractal scaling component analysis was employed. This method involves decomposing the two-dimensional center of pressure (CoP) planar trajectories to pinpoint the directions associated with minimal and maximal temporal correlations in postural sway. As a result, it facilitates a comprehensive assessment of the directional characteristics within the temporal structure of sway variability. The results demonstrated that healthy young adults control posture along two orthogonal directions closely aligned with the traditional anatomical anteroposterior (AP) and mediolateral (ML) axes. In contrast, older adults and individuals with Parkinson's disease controlled posture along suborthogonal directions that significantly deviate from the AP and ML axes. These findings suggest that the altered temporal structure of sway variability is evident in individuals with Parkinson's disease and underlies postural deficits, surpassing what can be explained solely by the natural aging process.

Record ages of non-Markovian scale-invariant random walks

How long is needed for an observable to exceed its previous highest value and establish a new record? This time, known as the age of a record plays a crucial role in quantifying record statistics. Until now, general methods for determining record age statistics have been limited to observations of either independent random variables or successive positions of a Markovian (memoryless) random walk. Here we develop a theoretical framework to determine record age statistics in the presence of memory effects for continuous non-smooth processes that are asymptotically scale-invariant. Our theoretical predictions are confirmed by numerical simulations and experimental realisations of diverse representative non-Markovian random walk models and real time series with memory effects, in fields as diverse as genomics, climatology, hydrology, geology and computer science. Our results reveal the crucial role of the number of records already achieved in time series and change our view on analysing record statistics.

Trend analysis in the presence of short- and long-range correlations with application to regional warming

Many real-world time series exhibit both significant short- and long-range temporal correlations. Such correlations enhance the errors of linear trend analysis. In this paper, we provide a general framework for trend analysis under the consideration of such correlations. We propose a parsimonious model containing both a single short-range autoregressive parameter and long-range fractional parameter. We derive analytical closed-form results for the error bars of the least-squares estimate of the trend for such time series, highlighting the different effects of short- and of long-range correlations. We employ an ensemble method for the automated extraction of scaling regions to estimate the fractional parameter of the data model together with its error bar, and the Grünwald-Letnikov derivative for the identification of the autoregressive parameter. We apply this framework to the study of warming trends on gridded temperature data in central Europe. We make use of the redundancy of the trend signal in adjacent grid points using methods of spatial averaging and the first principal component of empirical orthogonal function analysis. We find good agreement between the results of these two methods. We find a statistically significant decadal warming trend in central Europe over the past 70 years, which shows a particularly dramatic increase over the past 20 years.

Detrending Moving Average, Power Spectral Density, and Coherence: Three EEG-Based Methods to Assess Emotion Irradiation during Facial Perception

Understanding brain reactions to facial expressions can help in explaining emotion-processing and memory mechanisms. The purpose of this research is to examine the dynamics of electrical brain activity caused by visual emotional stimuli. The focus is on detecting changes in cognitive mechanisms produced by negative, positive, and neutral expressions on human faces. Three methods were used to study brain reactions: power spectral density, detrending moving average (DMA), and coherence analysis. Using electroencephalogram (EEG) recordings from 48 subjects while presenting facial image stimuli from the International Affective Picture System, the topographic representation of the evoked responses was acquired and evaluated to disclose the specific EEG-based activity patterns in the cortex. The theta and beta systems are two key cognitive systems of the brain that are activated differently on the basis of gender. The obtained results also demonstrate that the DMA method can provide information about the cortical networks’ functioning stability, so it can be coupled with more prevalent methods of EEG analysis.

Detrending-moving-average-based multivariate regression model for nonstationary series

Dependency between a response variable and the explanatory variables is a relationship of universal concern in various real-world problems. Multivariate linear regression (MLR) is a well-known method to focus on this issue. However, it is limited to dealing with stationary variables. In this work, we develop a MLR framework based on detrending moving average (DMA) analysis to reveal the actual dependency among variables with nonstationary measures. The DMA-based MLR can generate multiscale regression coefficients, which characterize different dependent behavior at different timescales. Artificial tests show that the DMA-MLR model can successfully resist the impact of trends on the studied series and produce more accurate regression coefficients with multiscale. Furthermore, some scale-dependent statistics are developed to deduce some important relationships in three typical DMA-based MLR models, which help us to deeply understand the DMA-MLR models in theory. The application of the proposed DMA-MLR framework to Beijing's air quality index system demonstrates that fine particulate matter with diameter ≤2.5μm (PM_{2.5}) is the dominant pollutant affecting the air quality of Beijing in recent years.

Inferring long memory using extreme events

Many natural and physical processes display long memory and extreme events. In these systems, the measured time series is invariably contaminated by noise and/or missing data. As the extreme events display a large deviation from the mean behavior, noise and/or missing data do not affect the extreme events as much as it affects the typical values. Since the extreme events also carry the information about correlations in the full-time series, we can use them to infer the correlation properties of the latter. In this work, we construct three modified time series using only the extreme events from a given time series. We show that the correlations in the original time series and in the modified time series are related, as measured by the exponent obtained from the detrended fluctuation analysis technique. Hence, the correlation exponents for a long memory time series can be inferred from its extreme events alone. We demonstrate this approach for several empirical time series.

Ischemic Stroke Risk Assessment by Multiscale Entropy Analysis of Heart Rate Variability in Patients with Persistent Atrial Fibrillation

It has been recognized that heart rate variability (HRV), defined as the fluctuation of ventricular response intervals in atrial fibrillation (AFib) patients, is not completely random, and its nonlinear characteristics, such as multiscale entropy (MSE), contain clinically significant information. We investigated the relationship between ischemic stroke risk and HRV with a large number of stroke-naïve AFib patients (628 patients), focusing on those who had never developed an ischemic/hemorrhagic stroke before the heart rate measurement. The CHA2DS2−VASc score was calculated from the baseline clinical characteristics, while the HRV analysis was made from the recording of morning, afternoon, and evening. Subsequently, we performed Kaplan–Meier method and cumulative incidence function with mortality as a competing risk to estimate the survival time function. We found that patients with sample entropy (SE(s)) ≥ 0.68 at 210 s had a significantly higher risk of an ischemic stroke occurrence in the morning recording. Meanwhile, the afternoon recording showed that those with SE(s) ≥ 0.76 at 240 s and SE(s) ≥ 0.78 at 270 s had a significantly lower risk of ischemic stroke occurrence. Therefore, SE(s) at 210 s (morning) and 240 s ≤ s ≤ 270 s (afternoon) demonstrated a statistically significant predictive value for ischemic stroke in stroke-naïve AFib patients.

Identification of Fractal Properties in Geomagnetic Data of Southeast Asian Region during Various Solar Activity Levels

The fractal properties of geomagnetic northward component data (H-component) in the equatorial region during various phases of solar activity over Southeast Asia were investigated and then quantified using the parameter of the Hurst exponent (H). This study began with the identification of existence of spectral peaks and scaling properties in international quiet day H-component data which were measured during three levels of solar activity: low, intermediate, and high. Then, various cases of quiet and disturbed days during different solar activity levels were analyzed using the method that performed the best in the preceding part. In all the years analyzed, multifractal scaling and spectral peaks exist, signifying that the data have fractal properties and that there are external factors driving the fluctuations of geomagnetic activity other than solar activity. The analysis of various cases of quiet and disturbed days generally showed that quiet days had anti-persistence tendencies (H < 0.5) while disturbed days had persistence tendencies (H > 0.5)—generally a higher level of Hurst exponent compared to quiet days. As for long-term quiet day H-component data, it had a Hurst exponent value that was near H ≃ 0.50, while the long-term disturbed day H-component data showed higher values than that of the quiet day.

Network Analysis of Cross-Correlations on Forex Market during Crises. Globalisation on Forex Market

Within the paper, the problem of globalisation during financial crises is analysed. The research is based on the Forex exchange rates. In the analysis, the power law classification scheme (PLCS) is used. The study shows that during crises cross-correlations increase resulting in significant growth of cliques, and also the ranks of nodes on the converging time series network are growing. This suggests that the crises expose the globalisation processes, which can be verified by the proposed analysis.

Detection of oriented fractal scaling components in anisotropic two-dimensional trajectories

We propose a novel class of mixed fluctuations with different orientations and fractal scaling features as a model for anisotropic two-dimensional (2D) trajectories hypothesized to appear in complex systems. Furthermore, we develop the oriented fractal scaling component analysis (OFSCA) to decompose such mixed fluctuations into the original orientation components. In the OFSCA, the original orientations are detected based on the principle that the original angles are orthogonal to the angles with the minimum and maximum scaling exponents of the mixed fluctuations. In our approach, the angle-dependent scaling properties are estimated using the Savitzky-Golay-filter-based detrended moving-average analysis (DMA), which has a higher detrending order than the conventional moving-average-filter-based DMA. To illustrate the OFSCA, we demonstrate that the numerically generated time-series of mixed fractional Gaussian noise (fGn) processes with non-orthogonal orientations and different scaling exponents is successfully decomposed into the original fGn components. We demonstrate the existence of oriented components in the 2D trajectories by applying OFSCA to real-world time-series, such as human postural fluctuations during standing and seismic ground acceleration during the great 2011 Tohoku-oki earthquake.

C. elegans episodic swimming is driven by multifractal kinetics

Fractal scaling is a common property of temporal change in various modes of animal behavior. The molecular mechanisms of fractal scaling in animal behaviors remain largely unexplored. The nematode C. elegans alternates between swimming and resting states in a liquid solution. Here, we report that C. elegans episodic swimming is characterized by scale-free kinetics with long-range temporal correlation and local temporal clusterization, namely consistent with multifractal kinetics. Residence times in actively-moving and inactive states were distributed in a power law-based scale-free manner. Multifractal analysis showed that temporal correlation and temporal clusterization were distinct between the actively-moving state and the inactive state. These results indicate that C. elegans episodic swimming is driven by transition between two behavioral states, in which each of two transition kinetics follows distinct multifractal kinetics. We found that a conserved behavioral modulator, cyclic GMP dependent kinase (PKG) may regulate the multifractal kinetics underlying an animal behavior. Our combinatorial analysis approach involving molecular genetics and kinetics provides a platform for the molecular dissection of the fractal nature of physiological and behavioral phenomena.

Detrending-moving-average-based bivariate regression estimator

In this work, a detrending-moving-average- (DMA) based bivariate linear regression analysis method is proposed. The method is combination of detrended moving average analysis and standard regression methodology, which allows us to estimate the scale-dependent regression coefficients for nonstationary and power-law correlated time series. By using synthetic simulations with error of estimation for different position parameter θ of detrending windows, we test our DMA-based bivariate linear regression algorithm and find that the centered detrending technique (θ=0.5) is of best performance, which provides the most accurate estimates. In addition, the estimated regression coefficients are in good agreement with the theoretical values. The center DMA-based bivariate linear regression estimator is applied to analyze the return series of Shanghai stock exchange composite index, the Hong Kong Hangseng index and the NIKKEI 225 index. The dependence among the Asian stock market across timescales is confirmed. Furthermore, two statistics based on the scale-dependent t statistic and the partial detrending-moving-average cross-correlation coefficient are used to demonstrate the significance of the dependence. The scale-dependent evaluation parameters also show that the DMA-based bivariate regression model can provide rich information than standard regression analysis.

Randomized multifractal detrended fluctuation analysis of long time series

A novel general randomized method is proposed to investigate multifractal properties of long time series. Based on multifractal temporally weighted detrended fluctuation analysis (MFTWDFA), we obtain randomized multifractal temporally weighted detrended fluctuation analysis (RMFTWDFA). The innovation of this algorithm is applying a random idea in the process of dividing multiple intervals to find the local trend. To test the performance of the RMFTWDFA algorithm, we apply it, together with the MFTWDFA, to the artificially generated time series and real genomic sequences. For three types of artificially generated time series, consistency tests are performed on the estimated h(q), and all results indicate that there is no significant difference in the estimated h(q) of the two methods. Meanwhile, for different sequence lengths, the running time of RMFTWDFA is reduced by over ten times. We use prokaryote genomic sequences with large scales as real examples, the results obtained by RMFTWDFA demonstrate that these genomic sequences show fractal characteristics, and we leverage estimated exponents to study phylogenetic relationships between species. The final clustering results are consistent with real relationships. All the results reflect that RMFTWDFA is significantly effective and timesaving for long time series, while obtaining an accuracy statistically comparable to other methods.

Probabilistic properties of detrended fluctuation analysis for Gaussian processes

Detrended fluctuation analysis (DFA) is one of the most widely used tools for the detection of long-range dependence in time series. Although DFA has found many interesting applications and has been shown to be one of the best performing detrending methods, its probabilistic foundations are still unclear. In this paper, we study probabilistic properties of DFA for Gaussian processes. Our main attention is paid to the distribution of the squared error sum of the detrended process. We use a probabilistic approach to derive general formulas for the expected value and the variance of the squared fluctuation function of DFA for Gaussian processes. We also get analytical results for the expected value of the squared fluctuation function for particular examples of Gaussian processes, such as Gaussian white noise, fractional Gaussian noise, ordinary Brownian motion, and fractional Brownian motion. Our analytical formulas are supported by numerical simulations. The results obtained can serve as a starting point for analyzing the statistical properties of DFA-based estimators for the fluctuation function and long-memory parameter.

Identifying characteristic time scales in power grid frequency fluctuations with DFA

Frequency measurements indicate the state of a power grid. In fact, deviations from the nominal frequency determine whether the grid is stable or in a critical situation. We aim to understand the fluctuations of the frequency on multiple time scales with a recently proposed method based on detrended fluctuation analysis. It enables us to infer characteristic time scales and generate stochastic models. We capture and quantify known features of the fluctuations like periodicity due to the trading market, response to variations by control systems, and stability of the long time average. We discuss similarities and differences between the British grid and the continental European grid.