Assessment of long-range correlation in time series: How to avoid pitfalls

Physical Review E - Statistical, Nonlinear, and Soft Matter Physics

Volumn 73, Issue 1, 2006, Pages

  Gao, Jianbo ^a   Hu, Jing ^a   Tung, Wen Wen ^b   Cao, Yinhe ^c   Sarshar, N ^d   Roychowdhury, Vwani P ^d  

^a University of Florida   (United States)

^b PURDUE UNIVERSITY   (United States)

^c Biosieve   (United States)

^d University of California   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

ACOUSTIC NOISE; CORRELATION METHODS; DATA ACQUISITION; MATHEMATICAL MODELS; PATTERN RECOGNITION; PROBLEM SOLVING; RANDOM PROCESSES;

LONG-RANGE CORRELATION; RANDOM WALK PROCESSES;

TIME SERIES ANALYSIS;

EID: 32844460216     PISSN: 15393755     EISSN: 15502376     Source Type: Journal    
DOI: 10.1103/PhysRevE.73.016117     Document Type: Article

References (54)

1. W. H. Press, Comments. Astrophys. COASD9 0146-2970 7, 103 (1978).
2. P. Bak, How Nature Works: The Science of Self-Organized Criticality (Copernicus, New York, 1996).
3. G. M. Wornell, Signal Processing with Fractals: A Wavelet-Based Approach (Prentice Hall, Englewood Cliffs, NJ, 1996).
4. W. E. Leland, M. S. Taqqu, W. Willinger, and D. V. Wilson, IEEE/ACM Trans. Netw. IEANEP 1063-6692 10.1109/90.282603 2, 1 (1994).
5. J. Beran, R. Sherman, M. S. Taqqu, and W. Willinger, IEEE Trans. Commun. IECMBT 0090-6778 10.1109/26.380206 43, 1566 (1995).
6. V. Paxson and S. Floyd, IEEE/ACM Trans. Netw. IEANEP 1063-6692 10.1109/90.392383 3, 226 (1995).
7. W. Li and K. Kaneko, Europhys. Lett. EULEEJ 0295-5075 17, 655 (1992).
8. R. F. Voss, Phys. Rev. Lett. PRLTAO 0031-9007 10.1103/PhysRevLett.68.3805 68, 3805 (1992).
9. C.-K. Peng, S. V. Buldyrev, A. L. Goldberger, S. Havlin, F. Sciortino, M. Simons, and H. E. Stanley, Nature (London) NATUAS 0028-0836 10.1038/356168a0 356 168 (1992).
10. D. L. Gilden, T. Thornton, and M. W. Mallon, Science SCIEAS 0036-8075 267, 1837 (1995).
11. Y. Chen, M. Ding, and J. A. Scott Kelso, Phys. Rev. Lett. PRLTAO 0031-9007 10.1103/PhysRevLett.79.4501 79, 4501 (1997).
12. J. J. Collins and C. J. De Luca, Phys. Rev. Lett. PRLTAO 0031-9007 10.1103/PhysRevLett.73.764 73, 764 (1994).
13. V. A. Billock, Physica D PDNPDT 0167-2789 10.1016/S0167-2789(99)00197-9 137, 379 (2000).
14. V. A. Billock, G. C. de Guzman, and J. A. S. Kelso, Physica D PDNPDT 0167-2789 10.1016/S0167-2789(00)00174-3 148, 136 (2001).
15. M. Wolf, Physica A PHYADX 0378-4371 10.1016/S0378-4371(97)00251-3 241, 493 (1997).
16. J. B. Gao, Y. H. Cao, and J. M. Lee, Physica A PHYADX 0378-4371 314, 392 (2003).
17. B. B. Mandelbrot, The Fractal Geometry of Nature (Freeman, San Francisco, 1982).
18. C.-K. Peng, S. V. Buldyrev, S. Havlin, M. Simons, H. E. Stanley, and A. L. Goldberger, Phys. Rev. E PLEEE8 1063-651X 10.1103/PhysRevE.49.1685 49, 1685 (1994).
19. G. Rangarajan and M. Ding, Phys. Rev. E PLEEE8 1063-651X 10.1103/PhysRevE.61.4991 61, 4991 (2000).
20. J. B. Gao, Phys. Rev. E PLEEE8 1063-651X 10.1103/PhysRevE.63.066202 63, 066202 (2001).
21. G. Box, G. M. Jenkins, and G. Reinsel, Time Series Analysis: Forecasting & Control, 3rd ed. (Prentice Hall, Englewood Cliffs, NJ, 1994).
22. D. R. Cox, in Statistics: An Appraisal, edited by, H. A. David, and, H. T. Davis, (Iowa State University Press, Ames, 1984), pp. 55-74.
23. B. Tsybakov and N. D. Georganas, IEEE/ACM Trans. Netw. IEANEP 1063-6692 5, 397 (1997).
24. P. Abry and D. Veitch, IEEE Trans. Inf. Theory IETTAW 0018-9448 10.1109/18.650984 44, 2 (1998).
25. R. G. Addie, M. Zukerman, and T. Neame, in Proc. IEEE INFOCOM '95, Vol. 3, p. 977.
26. B. Kaulakys, and T. Meskauskas, Phys. Rev. E PLEEE8 1063-651X 10.1103/PhysRevE.58.7013 58, 7013 (1998).
27. P. Bak, C. Tang, and K. Wiesenfeld, Phys. Rev. Lett. PRLTAO 0031-9007 10.1103/PhysRevLett.59.381 59, 381 (1987).
28. H. M. Jaeger, C. H. Liu, and S. R. Nagel, Phys. Rev. Lett. PRLTAO 0031-9007 10.1103/PhysRevLett.62.40 62, 40 (1989).
29. P. Helander, Phys. Rev. E PLEEE8 1063-651X 10.1103/PhysRevE.59.6356 59, 6356 (1999).
30. F. Dalton and D. Corcoran, Phys. Rev. E PLEEE8 1063-651X 10.1103/PhysRevE.63.061312 63, 061312 (2001).
31. Hans-Jacob S. Feder and J. Feder, Phys. Rev. Lett. PRLTAO 0031-9007 10.1103/PhysRevLett.66.2669 66, 2669 (1991);
32. Hans-Jacob S. Feder and J. Feder, Phys. Rev. Lett. PRLTAO 0031-9007 10.1103/PhysRevLett.67.283.2 67, 283 (E) (1991).
33. H. J. Jensen, K. Christensen, and H. C. Fogedby, Phys. Rev. B PRBMDO 0163-1829 10.1103/PhysRevB.40.7425 40, 7425 (1989).
34. M. S. Taqqu, W. Willinger, and R. Sherman, Comput. Commun. Rev. CCRED2 0146-4833 10.1145/269790.269792 27, 5 (1997).
35. G. Samorodnitsky and M. S. Taqqu, Stable Non-Gaussian Random Processes (Chapman and Hall, London, 1994).
36. T. Thayaparan and S. Kennedy, IEE Proc., Radar Sonar Navig. IRSNE2 1350-2395 151, 19 (2004).
37. G. Davidson and H. D. Griffiths, Electron. Lett. ELLEAK 0013-5194 38, 1128 (2002).
38. T. Bhattacharya and S. Haykin, Electron. Lett. ELLEAK 0013-5194 28, 1528 (1992).
39. T. Bhattacharya and S. Haykin, IEEE Trans. Aerosp. Electron. Syst. IEARAX 0018-9251 33, 408 (1997).
40. H. Leung, N. Dubash, and N. Xie, IEEE Trans. Aerosp. Electron. Syst. IEARAX 0018-9251 38, 98 (2002).
41. N. Xie, H. Leung, and H. Chan, IEEE Trans. Geosci. Remote Sens. IGRSD2 0196-2892 GE-41, 1491 (2003).
42. C. P. Lin, M. Sano, S. Sayama, and M. Sekine, IEICE Trans. Commun. ITCMEZ 0916-8516 E83B, 1916 (2000).
43. C. P. Lin, M. Sano, S. Obi, S. Sayama, and M. Sekine, IEICE Trans. Commun. ITCMEZ 0916-8516 E83B, 1955 (2000).
44. M. Martorella, F. Berizzi, and E. D. Mese, IEEE Trans. Antennas Propag. IETPAK 0018-926X 52, 1193 (2004).
45. S. Haykin, R. Bakker, and B. W. Currie, Proc. IEEE IEEPAD 0018-9219 10.1109/JPROC.2002.1015011 90, 860 (2002);
46. S. Haykin, http://soma.ece.mcmaster.ca/ipix/dartmouth/datasets.html
47. J. Hu, J. B. Gao, K. Yao, and U. S. Kim, IEEE International Conference on Acoustics, Speech, and Signal Processing (ICASSP'05), Philadelphia, March 2005, Vol. 5, p. 18-23;
48. see also J. Hu, W. W. Tung, and J. B. Gao, in IEEE Trans. Antennas and Propagation (to be published).
49. U. Frisch, Turbulence-The Legacy of A. N. Kolmogorov (Cambridge University Press, Cambridge, U.K., 1995).
50. M. C. Teich, IEEE Trans. Biomed. Eng. IEBEAX 0018-9294 10.1109/10.16460 36, 150 (1989).
51. S. B. Lowen and M. C. Teich, J. Acoust. Soc. Am. JASMAN 0001-4966 10.1121/1.403950 92, 803 (1992).
52. M. C. Teich and S. B. Lowen, IEEE Eng. Med. Biol. Mag. IEMBDE 0739-5175 10.1109/51.281678 13, 197 (1994).
53. M. S. Taqqu, V. Teverovsky, and W. Willinger, Fractals FRACEG 0218-348X 10.1142/S0218348X95000692 3, 785 (1995).
54. P. Talkner and R. O. Weber, Phys. Rev. E PLEEE8 1063-651X 10.1103/PhysRevE.62.150 62, 150 (2000).