Effect of nonlinear filters on detrended fluctuation analysis

When investigating the dynamical properties of complex multiple-component physical and physiological systems, it is often the case that the measurable system's output does not directly represent the quantity we want to probe in order to understand the underlying mechanisms. Instead, the output signal is often a linear or nonlinear function of the quantity of interest. Here, we investigate how various linear and nonlinear transformations affect the correlation and scaling properties of a signal, using the detrended fluctuation analysis (DFA) which has been shown to accurately quantify power-law correlations in nonstationary signals. Specifically, we study the effect of three types of transforms: (i) linear ( y(i) =a x(i) +b) , (ii) nonlinear polynomial ( y(i) =a x(k)(i) ) , and (iii) nonlinear logarithmic y(i) =log ( x(i) +Delta) filters. We compare the correlation and scaling properties of signals before and after the transform. We find that linear filters do not change the correlation properties, while the effect of nonlinear polynomial and logarithmic filters strongly depends on (a) the strength of correlations in the original signal, (b) the power k of the polynomial filter, and (c) the offset Delta in the logarithmic filter. We further apply the DFA method to investigate the "apparent" scaling of three analytic functions: (i) exponential exp (+/-x+a) , (ii) logarithmic log (x+a) , and (iii) power law (x+a)(lambda) , which are often encountered as trends in physical and biological processes. While these three functions have different characteristics, we find that there is a broad range of values for parameter a common for all three functions, where the slope of the DFA curves is identical. We further note that the DFA results obtained for a class of other analytic functions can be reduced to these three typical cases. We systematically test the performance of the DFA method when estimating long-range power-law correlations in the output signals for different parameter values in the three types of filters and the three analytic functions we consider.