Effects of polynomial trends on detrending moving average analysis

TL;DR

This paper analyzes how polynomial trends affect the performance of detrending moving average methods in detecting long-term correlations in nonstationary time series, providing analytical insights and practical recommendations.

Contribution

It offers a comprehensive analytical framework for understanding the impact of polynomial trends on DMA methods and identifies the superior robustness of CDMA under such conditions.

Findings

CDMA is unaffected by constant shifts.

Linear trends cause crossovers in fluctuation functions.

CDMA outperforms BDMA and FDMA with polynomial trends.

Abstract

The detrending moving average (DMA) algorithm is one of the best performing methods to quantify the long-term correlations in nonstationary time series. Many long-term correlated time series in real systems contain various trends. We investigate the effects of polynomial trends on the scaling behaviors and the performances of three widely used DMA methods including backward algorithm (BDMA), centered algorithm (CDMA) and forward algorithm (FDMA). We derive a general framework for polynomial trends and obtain analytical results for constant shifts and linear trends. We find that the behavior of the CDMA method is not influenced by constant shifts. In contrast, linear trends cause a crossover in the CDMA fluctuation functions. We also find that constant shifts and linear trends cause crossovers in the fluctuation functions obtained from the BDMA and FDMA methods. When a crossover exists, the scaling behavior at small scales comes from the intrinsic time series while that at large scales is dominated by the constant shifts or linear trends. We also derive analytically the expressions of crossover scales and show that the crossover scale depends on the strength of the polynomial trend, the Hurst index, and in some cases (linear trends for BDMA and FDMA) the length of the time series. In all cases, the BDMA and the FDMA behave almost the same under the influence of constant shifts or linear trends. Extensive numerical experiments confirm excellently the analytical derivations. We conclude that the CDMA method outperforms the BDMA and FDMA methods in the presence of polynomial trends.