Phys Rev E. 2016 May;93(5):053304. doi: 10.1103/PhysRevE.93.053304. Epub 2016 May 16.

Fast algorithm for scaling analysis with higher-order detrending moving average method.

Physical review. E

Yutaka Tsujimoto, Yuki Miki, Satoshi Shimatani, Ken Kiyono

PMID: 27301002 DOI: 10.1103/PhysRevE.93.053304

Abstract

Among scaling analysis methods based on the root-mean-square deviation from the estimated trend, it has been demonstrated that centered detrending moving average (DMA) analysis with a simple moving average has good performance when characterizing long-range correlation or fractal scaling behavior. Furthermore, higher-order DMA has also been proposed; it is shown to have better detrending capabilities, removing higher-order polynomial trends than original DMA. However, a straightforward implementation of higher-order DMA requires a very high computational cost, which would prevent practical use of this method. To solve this issue, in this study, we introduce a fast algorithm for higher-order DMA, which consists of two techniques: (1) parallel translation of moving averaging windows by a fixed interval; (2) recurrence formulas for the calculation of summations. Our algorithm can significantly reduce computational cost. Monte Carlo experiments show that the computational time of our algorithm is approximately proportional to the data length, although that of the conventional algorithm is proportional to the square of the data length. The efficiency of our algorithm is also shown by a systematic study of the performance of higher-order DMA, such as the range of detectable scaling exponents and detrending capability for removing polynomial trends. In addition, through the analysis of heart-rate variability time series, we discuss possible applications of higher-order DMA.

Publication Types

• Journal Article