Open AccessA new method of detecting abrupt dynamic change based on rescaled range analysis
Author(s) -
Wenping He,
Deng Bei-Sheng,
Qiong Wu,
Zhang Wen,
Cheng Hai-Ying
Publication year - 2010
Publication title -
wuli xuebao
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).