Detrended fluctuation analysis of the Ornstein-Uhlenbeck process: Stationarity versus nonstationarity.
Detrended fluctuation analysis of the Ornstein-Uhlenbeck process: Stationarity versus nonstationarity.
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DOI：
10.1063/1.4967390
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发表时间：
2016-11
期刊：
影响因子：
2.9
通讯作者：
Z. Czechowski;L. Telesca
中科院分区：
文献类型：
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作者：
Z. Czechowski;L. Telesca
利用去趋势波动分析方法研究了由离散的Ornstein-Uhlenbeck方程产生的时间序列的平稳/非平稳区域。我们的研究结果指出，在确定的非平稳和平稳制度之间的交叉时间的漂移参数的患病率。的波动函数一致的非平稳制度的一个恒定的扩散参数，并在固定制度的漂移和扩散随机力之间的一个恒定的比例。在广义Ornstein-Uhlenbeck方程中，Hurst指数H对交叉时间有影响，并且随着H的减小，交叉时间增加。
The stationary/nonstationary regimes of time series generated by the discrete version of the Ornstein-Uhlenbeck equation are studied by using the detrended fluctuation analysis. Our findings point out to the prevalence of the drift parameter in determining the crossover time between the nonstationary and stationary regimes. The fluctuation functions coincide in the nonstationary regime for a constant diffusion parameter, and in the stationary regime for a constant ratio between the drift and diffusion stochastic forces. In the generalized Ornstein-Uhlenbeck equations, the Hurst exponent H influences the crossover time that increases with the decrease of H.