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Detrended fluctuation analysis of the Ornstein-Uhlenbeck process: Stationarity versus nonstationarity (2016)

Zbigniew Czechowski and Luciano Telesca

American Institute of Physics (AIP)

In: Chaos

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Publication Date: 2016-11-10

Description: 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 .

Print ISSN: 1054-1500

Electronic ISSN: 1089-7682

Topics: Physics

Published by American Institute of Physics (AIP)

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