Size effects on correlation measures.
The detection and quantification of long-range correlations in time series is a fundamental tool to characterize the properties of different dynamical systems, and is applied in many different fields, including physics, biology or engineering. Due to the diversity of applications, many techniques for measuring correlations have been designed. Here, we study systematically the influence of the length of a time series on the results obtained from several techniques commonly used to detect and quantify long-range correlations: the autocorrelation analysis, Hurst's analysis, and detrended fluctuation analysis (DFA). Using the Fourier filtering method, we generate artificial time series with known and controlled long-range correlations and with a broad range of lengths, and apply on them the different correlation measures we have studied. Our results indicate that while the DFA method is practically unaffected by the length of the time series, and almost always provides accurate results, the results from Hurst's analysis and the autocorrelation analysis strongly depend on the length of the time series.
Departamento de Física Aplicada II, E.T.S.I. de Telecomunicación, Universidad de Málaga, 29071 Málaga, Spain.
Ana V
AV
Coronado
Pedro
P
Carpena
DNA correlations; brain dynamics; heartbeat correlations; long-range correlations; time series analysis