Simple python implementation of the DFA algorithm.
It bases on these two articles:
- Hardstone, R. et al. Detrended fluctuation analysis: A scale-free view on neuronal oscillations. Front. Physiol. 3 NOV, 1–13 (2012).
- Ihlen, E. a F. Introduction to multifractal detrended fluctuation analysis in Matlab. Front. Physiol. 3 JUN, 1–18 (2012).
You may test it using power law data generator from generate.py, or with the code below:
from dfa import dfa
from generate import power_law_noise
true_exp = 0.8
x = power_law_noise(2**12, true_exp)
scales, fluct, alpha = dfa(x)
print("True scaling exponent: {}".format(true_exp))
print("Estimated DFA exponent: {}".format(alpha))- numpy
- matplotlib