DeltaDFA: 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)

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)

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).

Author

Victor Barreto Mesquita

Details

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

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

Run this code

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

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