New variants of DFA based on loess and lowess methods: generalization of the detrending moving average
| Autor: | Pierrick Legrand, Eric Grivel, Bastien Berthelot |
|---|---|
| Přispěvatelé: | Laboratoire de l'intégration, du matériau au système (IMS), Université Sciences et Technologies - Bordeaux 1 (UB)-Institut Polytechnique de Bordeaux-Centre National de la Recherche Scientifique (CNRS), Méthodes avancées d’apprentissage statistique et de contrôle (ASTRAL), Institut de Mathématiques de Bordeaux (IMB), Université Bordeaux Segalen - Bordeaux 2-Université Sciences et Technologies - Bordeaux 1 (UB)-Université de Bordeaux (UB)-Institut Polytechnique de Bordeaux (Bordeaux INP)-Centre National de la Recherche Scientifique (CNRS)-Université Bordeaux Segalen - Bordeaux 2-Université Sciences et Technologies - Bordeaux 1 (UB)-Université de Bordeaux (UB)-Institut Polytechnique de Bordeaux (Bordeaux INP)-Centre National de la Recherche Scientifique (CNRS)-Inria Bordeaux - Sud-Ouest, Institut National de Recherche en Informatique et en Automatique (Inria)-Institut National de Recherche en Informatique et en Automatique (Inria)-Naval Group, Université Bordeaux Segalen - Bordeaux 2-Université Sciences et Technologies - Bordeaux 1 (UB)-Université de Bordeaux (UB)-Institut Polytechnique de Bordeaux (Bordeaux INP)-Centre National de la Recherche Scientifique (CNRS), Université de Bordeaux (UB), Université Sciences et Technologies - Bordeaux 1-Institut Polytechnique de Bordeaux-Centre National de la Recherche Scientifique (CNRS), Université Bordeaux Segalen - Bordeaux 2-Université Sciences et Technologies - Bordeaux 1-Université de Bordeaux (UB)-Institut Polytechnique de Bordeaux (Bordeaux INP)-Centre National de la Recherche Scientifique (CNRS)-Université Bordeaux Segalen - Bordeaux 2-Université Sciences et Technologies - Bordeaux 1-Université de Bordeaux (UB)-Institut Polytechnique de Bordeaux (Bordeaux INP)-Centre National de la Recherche Scientifique (CNRS)-Inria Bordeaux - Sud-Ouest, Université Bordeaux Segalen - Bordeaux 2-Université Sciences et Technologies - Bordeaux 1-Université de Bordeaux (UB)-Institut Polytechnique de Bordeaux (Bordeaux INP)-Centre National de la Recherche Scientifique (CNRS), Grivel, Eric |
| Jazyk: | angličtina |
| Rok vydání: | 2021 |
| Předmět: |
Hurst exponent
Signal processing [INFO.INFO-TS]Computer Science [cs]/Signal and Image Processing [INFO.INFO-TS] Computer Science [cs]/Signal and Image Processing Computer science Moving average Generalization Loess Detrended fluctuation analysis Filter (signal processing) Time series Algorithm ComputingMilieux_MISCELLANEOUS |
| Zdroj: | ICASSP 2021-IEEE International Conference on Acoustics, Speech and Signal Processing ICASSP 2021-IEEE International Conference on Acoustics, Speech and Signal Processing, Jun 2021, Totonto, Canada ICASSP |
| Popis: | Proposed early in the 90ies, the detrended fluctuation analysis (DFA) can be used to estimate the Hurst exponent and has been proven relevant in various applications, from economics to biomedical. For the last years, variants have been proposed. They differ in the way to estimate the trend of the centered integrated signal. In this paper, we recall the main principles of some of these methods, provide explanations on the behaviours of the algorithms and analyze the relevance of new variants based on the Savitzky-Golay filter, also known as the LOESS approach, and the LOWESS. They bridge the gap between the DFA and the detrending moving average (DMA). We hence show that the LOESS-based method is a generalization of the DMA. |
| Databáze: | OpenAIRE |
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