Inferring characteristic timescales from the effect of autoregressive dynamics on detrended fluctuation analysis. (28th March 2019)

• Record Type: Journal Article
• Authors: Meyer, Philipp G; Kantz, Holger
• Is Part Of: New journal of physics. Volume 21:Number 3(2019:Mar.)
• Publication Date: 2019-03-28
• Subjects: detrended fluctuation analysis -- time series analysis -- El Niño southern oscillation -- characteristic timescales -- stochastic processes -- temporal correlations; Physics -- Periodicals; Physics; Periodicals; 530.05
• DOI: 10.1088/1367-2630/ab0a8a
• Languages: English
• ISSNs: 1367-2630

Abstract

Abstract: Exploiting recent progress in the theoretical understanding of detrended fluctuation analysis (DFA), we use the non-asymptotic properties of the fluctuation function in order to extract more information from time series data than just its Hurst exponent. In particular, we can identify exponential relaxation and oscillation periods and estimate their specific values. We illustrate the strength of this method through applications to climate data. Thereby, we determine the relaxation time of the atmospheric response to perturbations. We also find by DFA a period length of the dominant frequency mode of the El Niño Southern Oscillation to be 3.3 years.