title: Detrended fluctuation analysis of the Ornstein-Uhlenbeck process: Stationarity versus nonstationarity.
abstract: The stationary/nonstationary regimes of time series generated by the discrete version of the Ornstein-Uhlenbeck equation are studied by using the detrended fluctuation analysis. Our findings point out to the prevalence of the drift parameter in determining the crossover time between the nonstationary and stationary regimes. The fluctuation functions coincide in the nonstationary regime for a constant diffusion parameter, and in the stationary regime for a constant ratio between the drift and diffusion stochastic forces. In the generalized Ornstein-Uhlenbeck equations, the Hurst exponent H influences the crossover time that increases with the decrease of H.
authors.affiliation: Institute of Geophysics, Polish Academy of Sciences, 01-452 Warsaw, Ks. Janusza 64, Poland.
authors.forename: Zbigniew
authors.initials: Z
authors.lastname: Czechowski
authors.affiliation: National Research Council, Institute of Methodologies for Environmental Analysis, C.da S. Loja, 85050 Tito (PZ), Italy.
authors.forename: Luciano
authors.initials: L
authors.lastname: Telesca