A new method of detecting abrupt dynamic change based on rescaled range analysis | Zendy

Deng Bei-Sheng | Zendy; He Wen-Ping | Zendy; Cheng Hai-Ying | Zendy; Qiong Wu | Zendy; Wen Zhang | Zendy

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A new method of detecting abrupt dynamic change based on rescaled range analysis

Author(s) -

Deng Bei-Sheng,

He Wen-Ping,

Cheng Hai-Ying,

Qiong Wu,

Wen Zhang

Publication year - 2010

Publication title -

acta physica sinica

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.199

H-Index - 47

ISSN - 1000-3290

DOI - 10.7498/aps.59.8264

Subject(s) - detrended fluctuation analysis , range (aeronautics) , series (stratigraphy) , moving average , statistical physics , time series , computer science , statistics , mathematics , physics , materials science , geology , paleontology , geometry , scaling , composite material

A new method is proposed in this paper—moving cut data-rescaled range analysis (MC-R/S). Tests on the correlated time series suggest that the MC-R/S can accurately detect the time-instants of abrupt change, and the MC-R/S results almost do not depend on the length of subseries and are less affected by noises. So, MC-R/S is suitable to detecting an abrupt dynamic change in those time series exhibiting correlations, and can very well make up the deficiency of moving detrended fluctuation analysis (MDFA).

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