caa a22 4500 528785494 20181217030312.0 cr unu---uuuuu 180924e20121112xx s 000 0 eng 10.3929/ethz-b-000059162 doi 10.1038/srep00835 doi (ETHRESEARCH)oai:www.research-collection.ethz.ch:20.500.11850/59162 Comparing the performance of FA, DFA and DMA using different synthetic long-range correlated time series [Elektronische Daten] [Ying-Hui Shao, Gao-Feng Gu, Zhi-Qiang Jiang, Wei-Xing Zhou, Didier Sornette] Sci Rep Open access ethresearch Notwithstanding the significant efforts to develop estimators of long-range correlations (LRC) and to compare their performance, no clear consensus exists on what is the best method and under which conditions. In addition, synthetic tests suggest that the performance of LRC estimators varies when using different generators of LRC time series. Here, we compare the performances of four estimators [Fluctuation Analysis (FA), Detrended Fluctuation Analysis (DFA), Backward Detrending Moving Average (BDMA), and Centred Detrending Moving Average (CDMA)]. We use three different generators [Fractional Gaussian Noises, and two ways of generating Fractional Brownian Motions]. We find that CDMA has the best performance and DFA is only slightly worse in some situations, while FA performs the worst. In addition, CDMA and DFA are less sensitive to the scaling range than FA. Hence, CDMA and DFA remain "The Methods of Choice” in determining the Hurst index of time series. Creative Commons Attribution-NonCommercial-NoDerivs 3.0 Unported http://creativecommons.org/licenses/by-nc-nd/3.0 ethresearch Information theory and computation ethresearch Statistical physics, thermodynamics and nonlinear dynamics ethresearch Statistics ethresearch Software ethresearch Shao Ying-Hui joint author Gu Gao-Feng joint author Jiang Zhi-Qiang joint author Zhou Wei-Xing joint author Sornette Didier joint author Scientific Reports London : Nature Publishing Group 2, p. 835 2045-2322 http://hdl.handle.net/20.500.11850/59162 text/html WWW-Backlink auf das Repository (Open access) 1 Journal Article ethresearch ETHRESEARCH 856 40 http://hdl.handle.net/20.500.11850/59162 text/html WWW-Backlink auf das Repository (Open access) ETHRESEARCH 700 1- Shao Ying-Hui joint author ETHRESEARCH 700 1- Gu Gao-Feng joint author ETHRESEARCH 700 1- Jiang Zhi-Qiang joint author ETHRESEARCH 700 1- Zhou Wei-Xing joint author ETHRESEARCH 700 1- Sornette Didier joint author ETHRESEARCH 773 0- Scientific Reports London : Nature Publishing Group 2, p. 835 2045-2322 BK010053 XK010053 XK010000 ETHRESEARCH ETHRESEARCH ETHRESEARCH Journal Article Open access