Kiyani KH, Chapman SC, Watkins NW. Pseudononstationarity in the scaling exponents of finite-interval time series.
PHYSICAL REVIEW. E, STATISTICAL, NONLINEAR, AND SOFT MATTER PHYSICS 2009;
79:036109. [PMID:
19392020 DOI:
10.1103/physreve.79.036109]
[Citation(s) in RCA: 3] [Impact Index Per Article: 0.2] [Reference Citation Analysis] [Abstract] [Track Full Text] [Subscribe] [Scholar Register] [Received: 08/14/2008] [Indexed: 05/27/2023]
Abstract
The accurate estimation of scaling exponents is central in the observational study of scale-invariant phenomena. Natural systems unavoidably provide observations over restricted intervals; consequently, a stationary stochastic process (time series) can yield anomalous time variation in the scaling exponents, suggestive of nonstationarity. The variance in the estimates of scaling exponents computed from an interval of N observations is known for finite variance processes to vary as approximately 1N as N-->infinity for certain statistical estimators; however, the convergence to this behavior will depend on the details of the process, and may be slow. We study the variation in the scaling of second-order moments of the time-series increments with N for a variety of synthetic and "real world" time series, and we find that in particular for heavy tailed processes, for realizable N , one is far from this approximately 1N limiting behavior. We propose a semiempirical estimate for the minimum N needed to make a meaningful estimate of the scaling exponents for model stochastic processes and compare these with some "real world" time series.
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