Detrended fluctuation analysis

In stochastic processes, chaos theory and time series analysis, detrended fluctuation analysis (DFA) is a
method for determining the statistical self-affinity of a signal. It is useful for analysing time series that
appear to be long-memory processes (diverging correlation time, e.g. power-law decaying autocorrelation
function) or 1/f noise.

The obtained exponent is similar to the Hurst exponent, except that DFA may also be applied to signals
whose underlying statistics (such as mean and variance) or dynamics are non-stationary (changing with
time). It is related to measures based upon spectral techniques such as autocorrelation and Fourier
transform.

Peng et al. introduced DFA in 1994 in a paper that has been cited over 3,000 times as of 2022[1] and
represents an extension of the (ordinary) fluctuation analysis (FA), which is affected by non-stationarities.

Definition

Algorithm

Given: a time series .

Compute its average value .

Sum it into a process . This is the cumulative

sum, or profile, of the original time series. For example, the profile DFA on a Brownian motion process,
of an i.i.d. white noise is a standard random walk. with increasing values of .

Select a set of integers, such that

, the smallest , the largest , and the sequence is roughly distributed
evenly in log-scale: . In other words, it is approximately
a geometric progression.[2]

For each , divide the sequence into consecutive segments of length . Within each segment,
compute the least squares straight-line fit (the local trend). Let be the resulting
piecewise-linear fit.

Compute the root-mean-square deviation from the local trend (local fluctuation):

And their root-mean-square is the total fluctuation:

(If is not divisible by , then one can either discard the remainder of the sequence, or repeat the
procedure on the reversed sequence, then take their root-mean-square.[3])

Make the log-log plot .[4][5]

Interpretation

A straight line of slope on the log-log plot indicates a statistical self-affinity of form . Since
monotonically increases with , we always have .

The scaling exponent is a generalization of the Hurst exponent, with the precise value giving information
about the series self-correlations:

: anti-correlated
: uncorrelated, white noise
: correlated
: 1/f-noise, pink noise
: non-stationary, unbounded
: Brownian noise

Because the expected displacement in an uncorrelated random walk of length N grows like , an
exponent of would correspond to uncorrelated white noise. When the exponent is between 0 and 1, the
result is fractional Gaussian noise.

Pitfalls in interpretation

Though the DFA algorithm always produces a positive number for any time series, it does not necessarily
imply that the time series is self-similar. Self-similarity requires the log-log graph to be sufficiently linear
over a wide range of . Furthermore, a combination of techniques including MLE, rather than least-squares
has been shown to better approximate the scaling, or power-law, exponent.[6]

Also, there are many scaling exponent-like quantities that can be measured for a self-similar time series,
including the divider dimension and Hurst exponent. Therefore, the DFA scaling exponent is not a fractal
dimension, and does not have certain desirable properties that the Hausdorff dimension has, though in
certain special cases it is related to the box-counting dimension for the graph of a time series.

Generalizations

Generalization to polynomial trends (higher order DFA)

The standard DFA algorithm given above removes a linear trend in each segment. If we remove a degree-n
polynomial trend in each segment, it is called DFAn, or higher order DFA.[7]
Since is a cumulative sum of , a linear trend in is a constant trend in , which is a
constant trend in (visible as short sections of "flat plateaus"). In this regard, DFA1 removes the mean
from segments of the time series before quantifying the fluctuation.

Similarly, a degree n trend in is a degree (n-1) trend in . For example, DFA1 removes linear trends
from segments the time series before quantifying the fluctuation, DFA1 removes parabolic trends from
, and so on.

The Hurst R/S analysis removes constant trends in the original sequence and thus, in its detrending it is
equivalent to DFA1.

Generalization to different moments (multifractal DFA)

DFA can be generalized by computing

then making the log-log plot of , If there is a strong linearity in the plot of
, then that slope is .[8] DFA is the special case where .

Multifractal systems scale as a function . Essentially, the scaling exponents need not be
independent of the scale of the system. In particular, DFA measures the scaling-behavior of the second
moment-fluctuations.

Kantelhardt et al. intended this scaling exponent as a generalization of the classical Hurst exponent. The
classical Hurst exponent corresponds to for stationary cases, and for
nonstationary cases. [8][9][10]

Applications
The DFA method has been applied to many systems, e.g. DNA sequences,[11][12] neuronal oscillations,[10]
speech pathology detection,[13] heartbeat fluctuation in different sleep stages,[14] and animal behavior
pattern analysis.[15]

The effect of trends on DFA has been studied.[16]

Relations to other methods, for specific types of signal

For signals with power-law-decaying autocorrelation

In the case of power-law decaying auto-correlations, the correlation function decays with an exponent :
. In addition the power spectrum decays as . The three exponents are related
by:[11]
 and
.

The relations can be derived using the Wiener–Khinchin theorem. The relation of DFA to the power
spectrum method has been well studied.[17]

Thus, is tied to the slope of the power spectrum and is used to describe the color of noise by this
relationship: .

For fractional Gaussian noise

For fractional Gaussian noise (FGN), we have , and thus , and , where
is the Hurst exponent. for FGN is equal to .[18]

For fractional Brownian motion

For fractional Brownian motion (FBM), we have , and thus , and , where
is the Hurst exponent. for FBM is equal to [9]
. In this context, FBM is the cumulative sum or
the integral of FGN, thus, the exponents of their power spectra differ by 2.

See also
Multifractal system
Self-organized criticality
Self-affinity
Time series analysis
Hurst exponent

References
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External links
Tutorial on how to calculate detrended fluctuation analysis (https://www.nbtwiki.net/doku.ph
p?id=tutorial:detrended_fluctuation_analysis_dfa) in Matlab using the Neurophysiological
Biomarker Toolbox.
FastDFA (http://www.maxlittle.net/software/) MATLAB code for rapidly calculating the DFA
scaling exponent on very large datasets.
Physionet (http://www.physionet.org/physiotools/dfa) A good overview of DFA and C code to
calculate it.
MFDFA (https://github.com/LRydin/MFDFA) Python implementation of (Multifractal)
Detrended Fluctuation Analysis.
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