Serial correlation of detrended time series

Călin Vamoş and Maria Crăciun
Phys. Rev. E 78, 036707 – Published 23 September 2008

Abstract

A preliminary essential procedure in time series analysis is the separation of the deterministic component from the random one. If the signal is the result of superposing a noise over a deterministic trend, then the first one must estimate and remove the trend from the signal to obtain an estimation of the stationary random component. The errors accompanying the estimated trend are conveyed as well to the estimated noise, taking the form of detrending errors. Therefore the statistical errors of the estimators of the noise parameters obtained after detrending are larger than the statistical errors characteristic to the noise considered separately. In this paper we study the detrending errors by means of a Monte Carlo method based on automatic numerical algorithms for nonmonotonic trends generation and for construction of estimated polynomial trends alike to those obtained by subjective methods. For a first order autoregressive noise we show that in average the detrending errors of the noise parameters evaluated by means of the autocovariance and autocorrelation function are almost uncorrelated to the statistical errors intrinsic to the noise and they have comparable magnitude. For a real time series with significant trend we discuss a recursive method for computing the errors of the estimated parameters after detrending and we show that the detrending error is larger than the half of the total error.

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  • Received 15 January 2008

DOI:https://doi.org/10.1103/PhysRevE.78.036707

©2008 American Physical Society

Authors & Affiliations

Călin Vamoş* and Maria Crăciun

  • T. Popoviciu Institute of Numerical Analysis, Romanian Academy, P.O. Box 68, 400110 Cluj-Napoca, Romania

  • *cvamos@ictp.acad.ro
  • craciun@ictp.acad.ro

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Issue

Vol. 78, Iss. 3 — September 2008

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