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# 1 Introduction

## 1 Introduction

The real-time transformation of light gauge fields into massive intermediate vector bosons is a subject of increasing cosmological interest.

Recently, Garcia-Bellido et al.  (see also ) assumed that the coupled inflaton+Higgs system was far out of equilibrium when the energy density of the expanding Universe has passed the point corresponding to the thermal Higgs transition. With the supplementary condition that the reheating temperature after the exit from the inflationary period did not exceed the electroweak critical temperature, they demonstrated in a (1+1)-dimensional toy model, that large enough matter–antimatter asymmetry could have survived till today. The existence of non-equilibrium Higgs transitions in 3+1 dimensions has been demonstrated by Rajantie et al. . In these investigations the classical mean field equations were used with renormalized and temperature-dependent couplings.

A more traditional field of the investigation is the evolution of the baryon asymmetry through the electroweak phase transition, accompanying the onset of the Higgs effect. It has been thoroughly discussed, under the assumption that the system is in thermal equilibrium, with specific emphasis on the high-temperature sphaleron rate . Near equilibrium, the gauge-invariant HTL action dominates the influence of the thermalized quantum fluctuations on the motion of the mean fields with $`k𝒪(gT)`$ . This term was taken into account in real-time simulations of the sphaleron rate  (see also ).

The framework for the theoretical study of the baryon asymmetry has been somewhat modified with the realization that, within the Standard Model, the Higgs effect sets in via smooth phase transformation, characterized by an analytic variation of the order parameter . Under such circumstances the expectation value of the Higgs field is different from zero also above the electroweak energy scale. In this context it is remarkable that the leading HTL correction is insensitive to the presence of the scalar condensate .

In this note we go one step beyond the derivation of the HTL correction. Our aim is to find the leading effect due to the presence of an arbitrary constant background field: $`\overline{\mathrm{\Phi }}`$. In equilibrium, such a background is sufficient for the calculation of the effective potential, but not the full effective action. Similarly here, we restrict somewhat the generality of our correction terms to the equations of motion, namely the corrections to the $`\mathrm{\Phi }^2`$$`A^2`$ vertex will be determined neglecting the non-local effects in the scalar field.

The high-temperature limit of the resulting expression of the induced current shows that the next-to-leading “mass and vertex” corrections can be uniquely decomposed into gauge-fixing invariant and gauge-fixing dependent modes. In this way we can propose an expression of wider applicability for the Landau damping effect in the presence of a scalar condensate.

Baacke and his collaborators  have applied, in a series of papers, a complementary approach to the Higgs effective action without assuming the presence of a general gauge background.

A non-trivial mean gauge field configuration reacts back on the scalar condensate. Our final goal is to derive a coupled set of equations for the scalar condensate and the mean gauge field, which is appropriate for studying the real-time onset of the Higgs effect and the variation of the sphaleron generation and decay rate. We propose a physical gauge for the numerical solution of these equations where the gauge-fixing dependent mode does not propagate.

The generalization of the derivation to non-Abelian systems presents only technical complications. The Abelian calculation has been performed both in the standard real-time generator functional formulation  and with an iterated solution of the linearized Heisenberg equations of the quantum fluctuations . We shall use below the latter approach, where the adequate two-point functions enter more naturally. The general linear response theory will be described in a separate publication .

## 2 Mean Field Equations in the Abelian Higgs model

The Lagrangian of the model in the $`O(2)`$ notation is the following:

$$=\frac{1}{4}\widehat{F}_{\mu \nu }\widehat{F}^{\mu \nu }+\frac{1}{2}(_\mu \widehat{\mathrm{\Phi }})^2\frac{1}{2}m^2\widehat{\mathrm{\Phi }}^2+e\widehat{A}_\mu \widehat{J}^\mu +\frac{e^2}{2}\widehat{A}^2\widehat{\mathrm{\Phi }}^2\frac{\lambda }{24}(\widehat{\mathrm{\Phi }}^2)^2,$$
(1)
where $`\widehat{\mathrm{\Phi }}=(\widehat{\mathrm{\Phi }}_1,\widehat{\mathrm{\Phi }}_2)`$ and $`\widehat{J}_\mu =\widehat{\mathrm{\Phi }}_2_\mu \widehat{\mathrm{\Phi }}_1\widehat{\mathrm{\Phi }}_1_\mu \widehat{\mathrm{\Phi }}_2`$. We split the fields into a mean field ($`A_\mu ,\mathrm{\Phi }`$) and a fluctuation contribution

$$\widehat{A}_\mu =A_\mu +a_\mu ,\widehat{\mathrm{\Phi }}=\mathrm{\Phi }+\phi ,a_\mu =\phi =0$$
(2)
at any time (averaging is understood with respect to the initial density matrix). We assume that the scalar background is constant and that it points to the $`\mathrm{\Phi }_1`$ direction, its value being $`\overline{\mathrm{\Phi }}`$. We use in the sequel the notations $`m_W=e\overline{\mathrm{\Phi }},m_H^2=m^2+\lambda \overline{\mathrm{\Phi }}^2/2,m_G^2=m^2+\lambda \overline{\mathrm{\Phi }}^2/6`$, although these are not the vacuum values.

We fix a ’t Hooft $`R_\xi `$ gauge by changing the Lagrangian as

$$\frac{1}{2\xi }(_\mu \widehat{A}^\mu +\xi m_W\phi _2)^2\overline{c}(^2+\xi m_W^2+e\xi m_W\phi _1)c,$$
(3)
where $`c`$ is the ghost field. In this way the field $`\phi _2`$ receives an additional mass contribution $`\xi m_W^2`$.

The operatorial equation of motion (EOM) separately induces EOMs for the mean fields and the fluctuations. The average of the operatorial EOM for the gauge field reads as

$$\left[(^2+m_W^2)g_{\mu \nu }\left(1\frac{1}{\xi }\right)_\mu _\nu \right]A^\nu +j_\mu ^{ind}(A)=0,$$
(4)
with the induced current

$$j_\mu ^{ind}(A)=ej_\mu +2e^2\overline{\mathrm{\Phi }}a_\mu \phi _1+e^2A_\mu \phi ^2+e^2a_\mu \phi ^2,$$
(5)
where $`j_\mu =\phi _2_\mu \phi _1\phi _1_\mu \phi _2`$. We will perform the calculations at the one-loop level, when the last term does not contribute. The subtraction of (4) from the full equation yields the EOM for the fluctuations. At one loop it is sufficient to consider only the equations linearized in the fluctuations. On the other hand, since we want to calculate $`j_\mu ^{ind}`$ in the linear response approximation, we can neglect all terms non-linear in $`A`$. These assumptions make the equations very simple:

$`\left[(^2+m_W^2)g_{\mu \nu }+\left(1{\displaystyle \frac{1}{\xi }}\right)_\mu _\nu \right]a^\nu 2e^2\overline{\mathrm{\Phi }}A_\mu \phi _1=0,`$
$`(^2+m_H^2)\phi _1+2eA^\mu _\mu \phi _2+e(A)\phi _22e^2\overline{\mathrm{\Phi }}A^\mu a_\mu =0,`$
$`(^2+m_G^2+\xi m_W^2)\phi _22eA^\mu _\mu \phi _1e(A)\phi _1=0.`$ (6)
The ghost fields follow a free EOM, so that they do not influence the present calculation. These equations are solved to linear order in the $`A`$ background:

$`a_\mu (x)`$ $`=a_\mu ^{(0)}(x)2e^2\overline{\mathrm{\Phi }}{\displaystyle d^4zG_{\mu \nu }^R(xz)A^\nu (z)\phi _1^{(0)}(z)},`$
$`\phi _1(x)`$ $`=\phi _1^{(0)}(x)+e{\displaystyle d^4zG_1^R(xz)\left[2A^\mu (z)_\mu \phi _2^{(0)}(z)+(A)(z)\phi _2^{(0)}(z)2e\overline{\mathrm{\Phi }}A^\mu (z)a_\mu ^{(0)}(z)\right]},`$
$`\phi _2(x)`$ $`=\phi _2^{(0)}(x)e{\displaystyle d^4zG_2^R(xz)\left[2A^\mu (z)_\mu \phi _1^{(0)}(z)+(A)(z)\phi _1^{(0)}(z)\right]},`$ (7)
where the superscript zero denotes the solutions of the free EOM, and $`G^R`$’s are the free retarded Green functions444Here the definition $`KG^R=\delta `$ is used, where $`K`$ denotes the free kernel..

For the induced current (5) we need the expectation values of certain local products of the fluctuating fields. For example, it directly follows from the above equations (with $`AB_0A^{(0)}B^{(0)}`$), that

$`\phi _2(x)_\mu \phi _1(x)=`$ $`e{\displaystyle }d^4z\{_\mu ^xG_1^R(xz)[2A^\nu (z)\phi _2(x)_\nu ^z\phi _2(z)_0+(A)(z)\phi _2(x)\phi _2(z)_0]`$
$``$ $`G_2^R(xz)[2A^\nu (z)_\mu \phi _1(x)_\nu \phi _1(z)_0+(A)(z)_\mu \phi _1(x)\phi _1(z)_0]\}.`$ (8)
We define the local products in a symmetric way (i.e. $`\frac{1}{2}\phi _2(x)_\mu \phi _1(x)+_\mu \phi _1(x)\phi _2(x)`$) and introduce

$$\mathrm{\Delta }(xz)=\frac{1}{2}\phi (x)\phi (z)+\phi (z)\phi (x)_0.$$
(9)
Then the above expression can be written in Fourier space as

$$\phi _2_\mu \phi _1(Q)=eA^\nu (Q)\frac{d^4p}{(2\pi )^4}p_\mu (2pQ)_\nu \left[G_1^R(p)\mathrm{\Delta }_2(Qp)+G_2^R(Qp)\mathrm{\Delta }_1(p)\right].$$
(10)
The evaluation of other expectation values goes along the same line, finally giving

$`ej_\mu (Q)=e^2A^\nu (Q){\displaystyle \frac{d^4p}{(2\pi )^4}(2pQ)_\mu (2pQ)_\nu \left[G_1^R(p)\mathrm{\Delta }_2(Qp)+G_2^R(Qp)\mathrm{\Delta }_1(p)\right]},`$
$`2e^2\overline{\mathrm{\Phi }}a_\mu \phi _1(Q)=4e^2m_W^2A^\nu (Q){\displaystyle \frac{d^4p}{(2\pi )^4}\left[G_{\mu \nu }^R(p)\mathrm{\Delta }_1(Qp)+G_1^R(Qp)\mathrm{\Delta }_{\mu \nu }(p)\right]},`$
$`e^2A_\mu \phi ^2=e^2A_\mu (Q){\displaystyle \frac{d^4p}{(2\pi )^4}\left[\mathrm{\Delta }_1(p)+\mathrm{\Delta }_2(p)\right]}.`$ (11)
Assuming that the free fluctuations are in thermal equilibrium, the propagators can be related to the corresponding spectral functions , which are the discontinuities of the free kernels of eq. (6). Introducing

$$\mathrm{\Delta }_{m^2}(p)=2\pi \left(\frac{1}{2}+n(|p_0|)\right)\delta (p^2m^2),\text{and}G_{m^2}^R(p)=\frac{1}{p^2m^2+i\epsilon p_0},$$
(12)
where $`n`$ is the Bose–Einstein distribution, we have

$$\mathrm{\Delta }_1=\mathrm{\Delta }_{m_H^2},\mathrm{\Delta }_2=\mathrm{\Delta }_{m_G^2+\xi m_W^2},\mathrm{\Delta }_{\mu \nu }=g_{\mu \nu }\mathrm{\Delta }_{m_W^2}+\frac{p_\mu p_\nu }{m_W^2}\left(\mathrm{\Delta }_{m_W^2}\mathrm{\Delta }_{\xi m_W^2}\right),$$
(13)
and analogously for the corresponding $`G^R`$’s.

## 3 High-temperature expansion

The leading HTL term of $`j_\mu ^{ind}`$ in the high-temperature expansion comes from $`ej_\mu `$ by neglecting all the masses . Our aim is to calculate the first subleading term proportional to $`\overline{\mathrm{\Phi }}^2`$ instead of $`T^2`$ in the high-temperature expansion.

We emphasize that $`j^{ind}(Q)=j^{ind}(Q)^{}`$, therefore all partial contributions that are odd under hermitian $`Q`$-reflection can be freely omitted.

A useful formula, which simplifies the calculations, is the following :

$`I_F(Q,m^2,M^2)`$ $`=`$ $`{\displaystyle \frac{d^4p}{(2\pi )^4}F(Q,p)\left(G_{m^2}^R(p)\mathrm{\Delta }_{M^2}(Qp)+G_{M^2}^R(Qp)\mathrm{\Delta }_{m^2}(p)\right)}`$ (14)
$`=`$ $`{\displaystyle \frac{d^4p}{(2\pi )^4}F(Q,\frac{Q}{2}p)\frac{\mathrm{\Delta }_{m^2}(p\frac{Q}{2})\mathrm{\Delta }_{M^2}(p+\frac{Q}{2})}{2pQ+m^2M^2}}.`$
The tensorial structures appearing in (11) when cast into the form (14) imply the appearance in $`F`$ of the $`p`$-dependent terms $`p_\mu p_\nu ,p_\mu Q_\nu +p_\nu Q_\mu `$ and also of terms independent of $`p`$.

### 3.1 Even terms

We start the discussion with the terms even under $`p`$-reflection and introduce the notation $`f(p)=(F(Q,Q/2p)+F(Q,Q/2+p))/2`$. Here the $`m^2M^2`$ term in the denominator can be neglected since in the mass expansion

$$\frac{d^4p}{(2\pi )^4}f(p)(M^2m^2)\frac{\mathrm{\Delta }_0(p\frac{Q}{2})\mathrm{\Delta }_0(p+\frac{Q}{2})}{(2pQ)^2}=0$$
(15)
because of the odd $`pp`$ behaviour of the integrand. Then we only need to expand the difference of $`\mathrm{\Delta }`$’s of the numerator. The numerator can be expanded with respect to $`Q`$, when low-momentum mean fields are considered. The leading term of the gradient expansion gives zero, again because of the $`p`$-odd integrand.

The first non-zero contribution is therefore

$$I_F(m^2,M^2)=\frac{Q_\rho }{2}\frac{d^4p}{(2\pi )^4}\frac{f(p)}{2pQ}\frac{}{p_\rho }(\mathrm{\Delta }_{m^2}(p)+\mathrm{\Delta }_{M^2}(p)).$$
(16)
Now, we treat separately the two actual cases: $`f=p_\mu p_\nu `$ and $`f=`$constant. The $`f=p_\mu p_\nu `$ case contributes to the full expression of $`j_\mu ^{ind}(Q)`$

$$2e^2A^\nu (Q)Q^\rho \frac{d^4p}{(2\pi )^4}\frac{p_\mu p_\nu }{2pQ}\frac{}{p^\rho }(\mathrm{\Delta }_1+\mathrm{\Delta }_2+\mathrm{\Delta }_{m_W^2}\mathrm{\Delta }_{\xi m_W^2}).$$
(17)
We introduce the field-strength tensor by $`A^\nu Q^\rho =iF^{\nu \rho }+A^\rho Q^\nu `$. The local term proportional to $`A`$ reads as

$$e^2A^\rho (Q)\frac{d^4p}{(2\pi )^4}p_\mu \frac{}{p^\rho }(\mathrm{\Delta }_1+\mathrm{\Delta }_2+\mathrm{\Delta }_{m_W^2}\mathrm{\Delta }_{\xi m_W^2}).$$
(18)
After partial integration the first two terms cancel with $`e^2A_\mu \phi ^2`$ in the induced current. What remains is a contribution vanishing at zero $`m_W^2`$. In the mass expansion they give

$$j_\mu ^{local,1}=e^2(1\xi )m_W^2A_\mu (Q)\frac{d^4p}{(2\pi )^4}\frac{\mathrm{\Delta }_0}{𝐩^2}.$$
(19)
For each $`\mathrm{\Delta }_{m^2}`$ the field strength contribution of (17) is rewritten with the help of the relation

$$s^\rho \frac{\mathrm{\Delta }}{p^\rho }=2ps\frac{\mathrm{\Delta }}{𝐩^2}+s_0\frac{dn(|p_0|)}{dp^0}2\pi \delta (p^2m^2)$$
(20)
in the form

$$2ie^2\frac{d^4p}{(2\pi )^4}\left(\frac{p_\mu }{pQ}p_\nu p_\rho F^{\nu \rho }(Q)\frac{\mathrm{\Delta }_{m^2}}{𝐩^2}+F^{\nu 0}(Q)\frac{p_\mu p_\nu }{2pQ}\frac{dn(|p_0|)}{dp_0}2\pi \delta (p^2m^2)\right).$$
(21)
The first term drops out because of the antisymmetry of $`F`$. In the second term we perform the mass expansion. After adding the different contributions we find

$$j_\mu ^{(1)}=4e^2(iF^{\nu 0})\frac{d^4p}{(2\pi )^4}\frac{p_\mu p_\nu }{2pQ}\frac{dn(|p_0|)}{dp_0}\left[2\pi \delta (p^2)\frac{m_H^2+m_G^2+m_W^2}{2}2\pi \delta ^{}(p^2)\right]\mathrm{\Pi }_{\mu \nu }A^\nu .$$
(22)
The first term of this expression is the usual HTL contribution, the second is a mass correction to it. In the mass correction, originally, there was $`m_1^2+m_2^2+m_W^2\xi m_W^2`$, but because of $`m_2^2=m_G^2+\xi m_W^2`$ the $`\xi `$ dependence drops out.

The $`f=`$constant contribution to the induced current appears as

$$4e^2m_W^2A_\mu (Q)Q^\rho \frac{d^4p}{(2\pi )^4}\frac{1}{2pQ}\frac{\mathrm{\Delta }_0}{p^\rho }.$$
(23)
Since it is already proportional to $`m_W^2`$ we have dropped the mass dependence of the integral. Using once more the relation (20) we write for it

$$4e^2m_W^2A_\mu (Q)\frac{d^4p}{(2\pi )^4}\frac{1}{2pQ}\left(2pQ\frac{\mathrm{\Delta }_0}{𝐩^2}+Q_0\frac{dn(|p_0|)}{dp_0}2\pi \delta (p^2)\right).$$
(24)
The first term is again local:

$$j_\mu ^{local,2}=4e^2m_W^2A_\mu (Q)\frac{d^4p}{(2\pi )^4}\frac{\mathrm{\Delta }_0}{𝐩^2}.$$
(25)
The second term reads as

$$j_\mu ^{(2)}=4e^2m_W^2Q_0A_\mu \frac{d^4p}{(2\pi )^4}\frac{1}{2pQ}\frac{dn(|p_0|)}{dp_0}2\pi \delta (p^2).$$
(26)
### 3.2 Odd contributions

Odd contributions come exclusively from $`a_\mu \phi _1`$. Using (14) and denoting the current by $`j_\mu ^{(3)}`$ we find

$$j_\mu ^{(3)}=2e^2A^\nu \frac{d^4p}{(2\pi )^4}(p_\mu Q_\nu +p_\mu Q_\nu )\frac{\mathrm{\Delta }_{m_W^2}(p\frac{Q}{2})\mathrm{\Delta }_1(p+\frac{Q}{2})}{2pQ+m_W^2m_1^2}\{m_W^2\xi m_W^2\}.$$
(27)
Finally, with the help of (20), performing the mass and external momentum expansion according to the method followed in the previous subsection we arrive at

$$j_\mu ^{(3)}=2e^2(1\xi )m_W^2Q_0A^\nu \frac{d^4p}{(2\pi )^4}\frac{p_\mu Q_\nu +p_\mu Q_\nu }{(2pQ)^2}\frac{dn(|p_0|)}{dp_0}2\pi \delta (p^2)Z_{\mu \nu }A^\nu .$$
(28)
### 3.3 Linear response and physical modes

The full induced current is the sum of the different parts coming from (19), (22), (25), (26) and (28):

$$j_\mu ^{ind}=j_\mu ^{local}+j_\mu ^{(1)}+j_\mu ^{(2)}+j_\mu ^{(3)},$$
(29)
where $`j_\mu ^{local}=j_\mu ^{local,1}+j_\mu ^{local,2}`$.

Here $`j_\mu ^{(1)}`$ and $`j_\mu ^{(2)}`$ are $`\xi `$-independent, while $`j_\mu ^{local}`$ and $`j_\mu ^{(3)}`$ depend on the gauge fixing. For the physical characterization of the system (for instance, damping rates) we have to find the independently evolving modes. In order to do this we decompose the polarization tensor in the tensor basis, appropriate for finite-temperature studies :

$$P_{\mu \nu }^T=g_{\mu i}(\delta _{ij}\widehat{Q}_i\widehat{Q}_j)g_{\nu j},P_{\mu \nu }^L=\frac{Q^2}{q^2}u_\mu ^Tu_\nu ^T,P_{\mu \nu }^G=\frac{Q_\mu Q_\nu }{Q^2},S_{\mu \nu }=\frac{1}{q}\left(Q_\mu u_\nu ^T+u_\mu ^TQ_\nu \right),$$
(30)
where $`Q=(q_0,𝐪)`$, $`𝐪^2=q^2`$ and $`u_\mu ^T=g_{\mu 0}Q_\mu q_0/Q^2`$ was used.

Since $`\mathrm{\Pi }_{\mu \nu }`$ of (22) is transverse ($`Q^\mu \mathrm{\Pi }_{\mu \nu }=0`$), it is the combination of $`P^T`$ and $`P^L`$. Introducing $`\mathrm{\Pi }_L=\mathrm{\Pi }_{00}`$ and $`\mathrm{\Pi }_T=1/2P_{\mu \nu }^T\mathrm{\Pi }^{\mu \nu }`$ we find

$$\mathrm{\Pi }=\frac{Q^2}{q^2}\mathrm{\Pi }_LP^L+\mathrm{\Pi }_TP^T.$$
(31)
The $`Z_{\mu \nu }`$ term in (28) can be written as a combination of $`P^G`$ and $`S`$. Introducing $`Z_G=Z_\mu ^\mu `$ and $`Z_S=(q_0^2Z_GQ^2Z_{00})/(qq_0)`$ we find

$$Z=Z_GP^G+Z_SS.$$
(32)
Using the completeness relation $`P^L+P^T+P^G=g`$ the Fourier transform of the EOM (4) has the following form:

$$\left[(Q^2R\mathrm{\Pi }_T)P^T+\left(Q^2R+\frac{Q^2}{q^2}\mathrm{\Pi }_L\right)P^L+\left(\frac{1}{\xi }Q^2RZ_G\right)P^GZ_SS\right]A=0,$$
(33)
with $`R`$ defined from $`m_W^2A_\mu +j_\mu ^{local}+j_\mu ^{(2)}RA_\mu .`$

Since $`S`$ is not a projector, but mixes the subspaces belonging to $`P^L`$ and $`P^G`$, in this two-dimensional subspace the inverse propagator matrix still has to be diagonalized:

$$\left(\begin{array}{cc}Q^2R+\frac{Q^2}{q^2}\mathrm{\Pi }_L& Z_S\\ Z_S& \frac{1}{\xi }Q^2RZ_G\end{array}\right).$$
(34)
The eigenvalues should be found with one-loop accuracy, which means that terms proportional to the square of one-loop corrections (i.e. $`\mathrm{\Pi }_L^2`$, $`Z_G^2`$ and $`Z_S^2`$) should be neglected. This, however, implies that the eigenvalues are the diagonal entries. With appropriately rotated projectors in the $`(P^G,P^L)`$ plane, we can therefore write

$$\left[(Q^2R\mathrm{\Pi }_T)P^T+\left(Q^2R+\frac{Q^2}{q^2}\mathrm{\Pi }_L\right)\stackrel{~}{P}^L+\left(\frac{1}{\xi }Q^2RZ_G\right)\stackrel{~}{P}^G\right]A=0,$$
(35)
As expected, the transverse modes plus the $`\stackrel{~}{P}_L`$ mode, which might be called longitudinal, can be made independent of the gauge-fixing parameter (see the discussion on the renormalization of $`R`$ below).

### 3.4 The infrared separation scale

The $`p`$-integrals in all terms of $`j_\mu ^{ind}`$ are factorized into a radial and an angular integral. It is well known that the HTL term describes the dynamical screening of the electric fluctuations below the Debye scale, an infrared separation scale (“IR cut-off”) has to be therefore introduced into the radial integration at $`p=M=C_M\times eT`$. The effective equations one arrives at in this way are to be used for the modes $`pM`$.

Applying this cut-off to the integrals appearing in the expressions of $`R(Q)`$ and $`\mathrm{\Pi }_{\mu \nu }`$, one finds

$`R=m_W^2\left[1+{\displaystyle \frac{3+\xi }{8\pi ^2}}e^2\mathrm{ln}{\displaystyle \frac{\kappa T}{\mathrm{\Lambda }}}+{\displaystyle \frac{e^2T}{2\pi ^2M}}{\displaystyle \frac{q_0}{q}}\mathrm{ln}{\displaystyle \frac{q_0+q}{q_0q}}\right],`$
$`\mathrm{\Pi }_L=m_D^2\left(1{\displaystyle \frac{q_0}{2q}}\mathrm{ln}{\displaystyle \frac{q_0+q}{q_0q}}\right)+{\displaystyle \frac{q^2}{Q^2}}{\displaystyle \frac{e^2T}{4\pi ^2M}}(m_W^2+m_G^2+m_H^2),`$
$`\mathrm{\Pi }_T=m_D^2{\displaystyle \frac{q_0}{2q}}\left[{\displaystyle \frac{q_0}{q}}{\displaystyle \frac{q_0^2Q^2}{2q^2}}\mathrm{ln}{\displaystyle \frac{q_0+q}{q_0q}}\right]+{\displaystyle \frac{e^2T}{4\pi ^2M}}(m_W^2+m_G^2+m_H^2){\displaystyle \frac{q_0}{q}}\mathrm{ln}{\displaystyle \frac{q_0+q}{q_0q}},`$ (36)
with $`\kappa =2\pi \mathrm{exp}(\gamma _E)`$ and $`m_D^2=e^2T^2/3e^2MT/\pi ^2`$. The logarithmical UV divergence in $`R`$ can be absorbed into the $`e^2`$ renormalization. With appropriate renormalization scale $`\mu =\kappa T`$ the $`\xi `$ dependence can be made to vanish.

The intermediate IR scale $`M`$ contributes a term to the Debye mass, which depends linearly on $`M`$. It will be cancelled by the linear $`M`$-dependence of the self-energies, which shows up in the (one-loop) solution of the classical effective EOM (4) .

The mass corrections in (35), proportional to $`\overline{\mathrm{\Phi }}^2A^\nu `$, should be interpreted as coming from an induced (non-local) $`\mathrm{\Phi }^2A^2`$ vertex correction. In the subsequent classical time evolution it contributes to the self-energies of both fields. When (perturbatively) combined with the $`MT`$ terms coming from the tadpoles, it results in a finite contribution of order $`T^2`$, independent of the exact choice of the coefficient $`C_M`$ in the expression of $`M`$. Therefore, these terms can by no means be neglected.

## 4 Conclusions

In this letter we have investigated the induced current in the effective EOM of the gauge field in the Abelian Higgs model. Beyond the well-known HTL term, we now determined also the subleading $`\mathrm{\Phi }^2A_\mu `$ corrections in adiabatic approximation ($`\mathrm{\Phi }=`$ constant). The most important property of the corrections is that, just as the leading HTL term, in the high-temperature expansion for the physical degrees of freedom it is independent of the gauge-fixing procedure (after appropriate renormalization).

For consistency we have applied an IR cut-off $`M=C_M\times eT`$ to the fluctuations, and the effective EOM is valid below this scale. The subsequent 3D time evolution will be insensitive to the accurate choice of $`M`$. Partly it is cancelled by the 3D (Rayleigh–Jeans-type) divergences, partly it yields also non-zero, $`M`$-independent contributions, when the gauge–scalar vertex corrections are combined with the 3D would-be divergences.

We shortly discuss here the numerical implementation of the effective gauge field equation. The most convenient gauge fixing seems to be the Landau-gauge, where the $`\xi `$-dependent mode does not propagate. Then $`j_\mu ^{(3)}`$ can be left out of the discussion and the effective equations of motion are to be solved under the constraint $`_\mu A^\mu =0`$. It can be implemented, for example, by solving the equations for $`A_i`$ and computing $`A_0`$ from the constraint.

The non-local induced currents are written in local form with the help of auxiliary fields. With the well-known form of the leading HTL current, we can write in this form also the corrections due to the non-zero scalar background:

$`j_i^{(1)}(x)=m_D^2{\displaystyle \frac{d\mathrm{\Omega }_v}{4\pi }\left(v_iv_j\frac{e^2T}{2\pi ^2M}\frac{m_W^2+m_G^2+m_H^2}{m_D^2}\delta _{ij}\right)W_j^{(1)}(x,𝐯)},`$
$`j_i^{(2)}(x)={\displaystyle \frac{e^2m_W^2T}{\pi ^2M}}{\displaystyle \frac{d\mathrm{\Omega }_v}{4\pi }W_i^{(2)}(x,𝐯)},`$ (37)
where the auxiliary fields satisfy

$$(_0𝒗\mathbf{})W_i^{(1)}=F_{0i},(_0𝒗\mathbf{})W_i^{(2)}=_0A_i.$$
(38)
In the derivation of the expression of $`j_\mu ^{(1)}`$ we have performed a partial $`p`$-integration in the part of (22) proportional to $`\delta ^{}(p^2)`$, and used the fact that, to the accuracy of our calculation, $`Q_\nu F^{\nu \mu }(Q)=0`$ can be exploited in the expression of the induced current.

The equations for the scalar field receive mainly local corrections (renormalization and $`T`$-dependence of the couplings in the classical equations). However, for consistency also the $`\mathrm{\Phi }`$-derivative of the $`\mathrm{\Phi }^2`$$`A^2`$ vertex correction established in the present calculation should be introduced.

The logics of the derivation followed in the Abelian Higgs model seem to be robust enough for us to attempt its generalization to the non-Abelian case, which will be the subject of a future study. A numerical study of the corrected EOMs can lead us to a deeper understanding of the reliability of our present views on the high-temperature Higgs models, especially where the sphaleron rate is concerned. We will also learn in more detail of the non-equilibrium aspects of the cosmological onset of the Higgs regime.

Acknowledgement

The authors acknowledge fruitful discussions with P. Petreczky and H. J. de Vega in the early stages of this work. A.J. thanks D. Litim, C. Manuel, G. Moore, A. Rebhan and M. Thoma, for valuable comments and discussions. This research was supported by the Hungarian Science Fund (OTKA).


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# Effect of Trends on Detrended Fluctuation Analysis

## I Introduction

Many physical and biological systems exhibit complex behavior characterized by long-range power-law correlations. Traditional approaches such as the power-spectrum and correlation analysis are not suited to accurately quantify long-range correlations in non-stationary signals — e.g. signals exhibiting fluctuations along polynomial trends. Detrended fluctuation analysis (DFA) is a scaling analysis method providing a simple quantitative parameter — the scaling exponent $`\alpha `$ — to represent the correlation properties of a signal. The advantages of DFA over many methods are that it permits the detection of long-range correlations embedded in seemingly non-stationary time series, and also avoids the spurious detection of apparent long-range correlations that are artifact of non-stationarity. In the past few years, more than 100 publications have utilized the DFA as method of correlation analysis, and have uncovered long-range power-law correlations in many research fields such as cardiac dynamics, bioinformatics, economics, meteorology, geology, ethology etc. Furthermore, the DFA method may help identify different states of the same system according to its different scaling behaviors — e.g. the scaling exponent $`\alpha `$ for heart inter-beat intervals is different for healthy and sick individuals.

The correct interpretation of the scaling results obtained by the DFA method is crucial for understanding the intrinsic dynamics of the systems under study. In fact, for all systems where the DFA method was applied, there are many issues that remain unexplained. One of the common challenges is that the correlation exponent is not always a constant (independent of scale) and crossovers often exist — i.e. change of the scaling exponent $`\alpha `$ for different range of scales. A crossover usually can arise from a change in the correlation properties of the signal at different time or space scales, or can often arise from trends in the data. In this paper, we systematically study how different types of trends affect the apparent scaling behavior of long-range correlated signals. The existence of trends in times series generated by physical or biological systems is so common that it is almost unavoidable. For example, the number of particles emitted by a radiation source in an unit time has a trend of decreasing because the source becomes weaker; the density of air due to gravity has a trend at different altitude ; the air temperature in different geographic locations and the water flow of rivers have a periodic trend due to seasonal changes; the occurrence rate of earthquakes in certain area has trend in different time period. An immediate problem facing researchers applying scaling analysis to time series is whether trends in data arise from external conditions, having little to do with the intrinsic dynamics of the system generating noisy fluctuating data. In this case, a possible approach is to first recognize and filter out the trends before we attempt to quantify correlations in the noise. Alternatively, trends may arise from the intrinsic dynamics of the system, rather than being an epiphenomenon of external conditions, and thus may be correlated with the noisy fluctuations generated by the system. In this case, careful considerations should be given if trends should be filtered out when estimating correlations in the noise, since such ”intrinsic” trends may be related to the local properties of the noisy fluctuations.

Here we study the origin and the properties of crossovers in the scaling behavior of noisy signals, by applying the DFA method first on correlated noise and then on noise with trends, and comparing the difference in the scaling results. To this end, we generate artificial time series — anticorrelated, white and correlated noise with standard deviation equal to one — using the modified Fourier filtering method introduced by Makse et al.. We consider the case when the trend is independent of the local properties of the noise (external trend). We find that the scaling behavior of noise with a trend is a superposition of the scaling of the noise and the apparent scaling of the trend, and we derive analytical relations based on the DFA, which we call “superposition rule”. We show how this “superposition rule” can be used to determine if the trends are independent of the noisy fluctuation in real data, and if filtering these trends out will no affect the scaling properties of the data.

The outline of this paper is as follows. In Sec.II, we review the algorithm of the DFA method, and in Appendix A we compare the performance of the DFA with the classical scaling analysis —Hurst’s analysis (R/S analysis)— and show that the DFA is a superior method to quantify the scaling behavior of noisy signals. In Sec. III, we consider the effect of a linear trend and we present an analytic derivation of the apparent scaling behavior of a linear trend in Appendix C. In Sec. IV, we study a periodic trend, and in Sec. V the effect of power-law trend. We systematically study all resulting crossovers, their conditions of existence and their typical characteristics associated with the different types of trends. In addition, we also show how to use DFA appropriately to minimize or even eliminate the effects of those trends in cases that trends are not choices of the study, that is, trends do not reflect the dynamics of the system but are caused by some “irrelevant” background. Finally, Sec. VI contains a summary.

## II DFA

To illustrate the DFA method, we consider a noisy time series, $`u(i)`$ ($`i=1,..,N_{max}`$ ). We integrate the time series $`u(i)`$,

$$y(j)=\underset{i=1}{\overset{j}{}}(u(i)<u>),$$
(1)
where

$$<u>=\frac{1}{N_{max}}\underset{j=1}{\overset{N_{max}}{}}u(i),$$
(2)
and is divided into boxes of equal size, $`n`$. In each box, we fit the integrated time series by using a polynomial function, $`y_{fit}(i)`$, which is called the local trend. For order-$`\mathrm{}`$ DFA (DFA-1 if $`\mathrm{}=1`$, DFA-2 if $`\mathrm{}=2`$ etc.), $`\mathrm{}`$ order polynomial function should be applied for the fitting. We detrend The integrated time series, $`y(i)`$ by subtracting the local trend $`y_{fit}(i)`$ in each box, and we calculate the detrended fluctuation function

$$Y(i)=y(i)y_{fit}(i).$$
(3)
For a given box size $`n`$, we calculate the root mean square (rms) fluctuation

$$F(n)=\sqrt{\frac{1}{N_{max}}\underset{i=1}{\overset{N_{max}}{}}\left[Y(i)\right]^2}$$
(4)
The above computation is repeated for box sizes $`n`$ (different scales) to provide a relationship between $`F(n)`$ and $`n`$. A power-law relation between $`F(n)`$ and the box size $`n`$ indicates the presence of scaling: $`F(n)n^\alpha `$. The parameter $`\alpha `$, called the scaling exponent or correlation exponent, represents the correlation properties of the signal: if $`\alpha =0.5`$, there is no correlation and the signal is an uncorrelated signal (white noise); if $`\alpha <0.5`$, the signal is anticorrelated; if $`\alpha >0.5`$, there are positive correlations in the signal.

## III Noise with linear trends

First we consider the simplest case: correlated noise with a linear trend. A linear trend

$$u(i)=A_\mathrm{L}i$$
(5)
is characterized by only one variable — the slope of the trend, $`A_\mathrm{L}`$. For convenience, we denote the rms fluctuation function for noise without trends by $`F_\eta (n)`$, linear trends by $`F_\mathrm{L}(n)`$, and noise with a linear trend by $`F_{\eta \mathrm{L}}(n)`$.

### A DFA-1 on noise with a linear trend

Using the algorithm of Makse, we generate correlated noise with standard deviation one, with a given correlation property characterized by a given scaling exponent $`\alpha `$. We apply DFA-1 to quantify the correlation properties of the noise and find that only in certain good fit region the rms fluctuation function $`F_\eta (n)`$ can be approximated by a power-law function \[see Appendix A\]

$$F_\eta (n)=b_0n^\alpha $$
(6)
where $`b_0`$ is a parameter independent of the scale $`n`$. We find that the good fit region depends on the correlation exponent $`\alpha `$ \[see Appendix A\]. We also derive analytically the rms fluctuation function for linear trend only for DFA-1 and find that \[see Appendix C\]

$$F_\mathrm{L}(n)=k_0A_\mathrm{L}n^{\alpha _L}$$
(7)
where $`k_0`$ is a constant independent of the length of trend $`N_{max}`$, of the box size $`n`$ and of the slope of the trend $`A_\mathrm{L}`$. We obtain $`\alpha _L=2`$.

Next we apply the DFA-1 method to the superposition of a linear trend with correlated noise and we compare the rms fluctuation function $`F_{\eta \mathrm{L}}(n)`$ with $`F_\eta (n)`$ \[see Fig.1\]. We observe a crossover in $`F_{\eta \mathrm{L}}(n)`$ at scale $`n=n_\times `$. For $`n<n_\times `$, the behavior of $`F_{\eta \mathrm{L}}(n)`$ is very close to the behavior of $`F_\eta (n)`$, while for $`n>n_\times `$, the behavior of $`F_{\eta \mathrm{L}}(n)`$ is very close to the behavior of $`F_\mathrm{L}(n)`$. A similar crossover behavior is also observed in the scaling of the well-studied biased random walk . It is known that the crossover in the biased random walk is due to the competition of the unbiased random walk and the bias \[see Fig.5.3 of \]. We illustrate this observation in Fig. 2, where the detrended fluctuation functions (Eq. (3)) of the correlated noise, $`Y_\eta (i)`$, and of the noise with a linear trend, $`Y_{\eta \mathrm{L}}(i)`$ are shown. For the box size $`n<n_\times `$ as shown in Fig. 2(a) and (b), $`Y_{\eta \mathrm{L}}(i)Y_\eta (i)`$. For $`n>n_\times `$ as shown in Fig. 2(c) and (d), $`Y_{\eta \mathrm{L}}(i)`$ has distinguishable quadratic background significantly different from $`Y_\eta (i)`$. This quadratic background is due to the integration of the linear trend within the DFA procedure and represents the detrended fluctuation function $`Y_L`$ of the linear trend. These relations between the detrended fluctuation functions $`Y(i)`$ at different time scales $`n`$ explain the crossover in the scaling behavior of $`F_{\eta \mathrm{L}}(n)`$: from very close to $`F_\eta (n)`$ to very close to $`F_\mathrm{L}(n)`$ (observed in Fig.1).

The experimental results presented in Figs.1 and 2 suggest that the rms fluctuation function for a signal which is a superposition of a correlated noise and a linear trend can be expressed as:

$$\left[F_{\eta \mathrm{L}}(n)\right]^2=\left[F_\mathrm{L}(n)\right]^2+\left[F_\eta (n)\right]^2$$
(8)
We provide an analytic derivation of this relation in Appendix B, where we show that Eq.(8) holds for the superposition of any two independent signals — in this particular case noise and a linear trend. We call this relation the “superposition rule”. This rule helps us understand how the competition between the contribution of the noise and the trend to the rms fluctuation function $`F_{\eta \mathrm{L}}(n)`$ at different scales $`n`$ leads to appearance of crossovers .

Next, we ask how the crossover scale $`n_\times `$ depends on: (i) the slope of the linear trend $`A_\mathrm{L}`$, (ii) the scaling exponent $`\alpha `$ of the noise, and (iii) the length of the signal $`N_{max}`$. Surprisingly, we find that for noise with any given correlation exponent $`\alpha `$ the crossover scale $`n_\times `$ itself follows a power-law scaling relation over several decades: $`n_\times \left(A_\mathrm{L}\right)^\theta `$ (see Fig. 3). We find that in this scaling relation, the crossover exponent $`\theta `$ is negative and its value depends on the correlation exponent $`\alpha `$ of the noise — the magnitude of $`\theta `$ decreases when $`\alpha `$ increases. We present the values of the “crossover exponent” $`\theta `$ for different correlation exponents $`\alpha `$ in Table I.

To understand how the crossover scale depends on the correlation exponent $`\alpha `$ of the noise we employ the superposition rule \[Eq.(8)\] and estimate $`n_\times `$ as the intercept between $`F_\eta (n)`$ and $`F_\mathrm{L}(n)`$. From the Eqs. (6) and (7), we obtain the following dependence of $`n_\times `$ on $`\alpha `$:

$$n_\times =\left(A_\mathrm{L}\frac{k_0}{b_0}\right)^{1/(\alpha \alpha _L)}=\left(A_\mathrm{L}\frac{k_0}{b_0}\right)^{1/(\alpha 2)}$$
(9)
This analytical calculation for the crossover exponent $`1/(\alpha _L\alpha )`$ is in a good agreement with the observed values of $`\theta `$ obtained from our simulations \[see Fig.3 and Table I\].

Finally, since the $`F_\mathrm{L}(n)`$ does not depend on $`N_{max}`$ as we show in Eq.(7) and in Appendix C, we find that $`n_\times `$ does not depend on $`N_{max}`$. This is a special case for linear trends and does not always hold for higher order polynomial trends \[see Appendix D\].

### B DFA-2 on noise with a linear trend

Application of the DFA-2 method to noisy signals without any polynomial trends leads to scaling results identical to the scaling obtained from the DFA-1 method, with the exception of some vertical shift to lower values for the rms fluctuation function $`F_\eta (n)`$ \[see Appendix A\]. However, for signals which are a superposition of correlated noise and a linear trend, in contrast to the DFA-1 results presented in Fig. 1, $`F_{\eta \mathrm{L}}(n)`$ obtained from DFA exhibits no crossovers, and is exactly equal to the rms fluctuation function $`F_\eta (n)`$ obtained from DFA-2 for correlated noise without trend (see Fig. 4). These results indicate that a linear trend has no effect on the scaling obtained from DFA-2. The reason for this is that by design the DFA-2 method filters out linear trends, i.e. $`Y_\mathrm{L}(i)=0`$ (Eq.( 3)) and thus $`F_{\eta \mathrm{L}}(n)=F_\eta (n)`$ due to the superposition rule (Eq. (8)). For the same reason, polynomial trends of order lower than $`\mathrm{}`$ superimposed on correlated noise will have no effect on the scaling properties of the noise when DFA-$`\mathrm{}`$ is applied. Therefore, our results confirm that the DFA method is a reliable tool to accurately quantify correlations in noisy signals embedded in polynomial trends. Moreover, the reported scaling and crossover features of $`F(n)`$ can be used to determine the order of polynomial trends present in the data.

## IV Noise with sinusoidal trend

In this section, we study the effect of sinusoidal trends on the scaling properties of noisy signals. For a signal which is a superposition of correlated noise and sinusoidal trend, we find that based on the superposition rule (Appendix B) the DFA rms fluctuation function can be expressed as

$$\left[F_{\eta \mathrm{S}}(n)\right]^2=\left[F_\eta (n)\right]^2+\left[F_\mathrm{S}(n)\right]^2,$$
(10)
where $`F_{\eta \mathrm{S}}(n)`$ is the rms fluctuation function of noise with a sinusoidal trend, and $`F_\mathrm{S}(n)`$ is for the sinusoidal trend. First we consider the application of DFA-1 to a sinusoidal trend. Next we study the scaling behavior and the features of crossovers in $`F_{\eta \mathrm{S}}(n)`$ for the superposition of correlated noise and sinusoidal trend employing the superposition rule \[Eq.(10)\]. At the end of this section, we discuss the results obtained from higher order DFA.

### A DFA-1 on sinusoidal trend

Given a sinusoidal trend $`u(i)=A_\mathrm{S}\mathrm{sin}\left(2\pi i/T\right)`$ ($`i=1,\mathrm{},N_{max}`$), where $`A_\mathrm{S}`$ is the amplitude of the signal and $`T`$ is the period, we find that the rms fluctuation function $`F_\mathrm{S}(n)`$ does not depend on the length of the signal $`N_{max}`$, and has the same shape for different amplitudes and different periods \[Fig. 5\]. We find a crossover at scale corresponding to the period of the sinusoidal trend

$$n_{2\times }T,$$
(11)
and does not depend on the amplitude $`A_\mathrm{S}`$. We call this crossover $`n_{2\times }`$ for convenience, as we will see later. For $`n<n_{2\times }`$, the rms fluctuation $`F_\mathrm{S}(n)`$ exhibits an apparent scaling with the same exponent as $`F_\mathrm{L}(n)`$ for the linear trend \[see Eq. (7)\]:

$$F_\mathrm{S}(n)=k_1\frac{A_\mathrm{S}}{T}n^{\alpha _\mathrm{S}}$$
(12)
where $`k_1`$ is a constant independent of the length $`N_{max}`$, of the period $`T`$ and the amplitude $`A_\mathrm{S}`$ of the sinusoidal signal, and of the box size $`n`$. As for the linear trend \[Eq.(7)\], we obtain $`\alpha _\mathrm{S}=2`$ because at small scales (box size $`n`$) the sinusoidal function is dominated by a linear term. For $`n>n_{2\times }`$, due to the periodic property of the sinusoidal trend, $`F_\mathrm{S}(n)`$ is a constant independent of the scale $`n`$:

$$F_\mathrm{S}(n)=\frac{1}{2\sqrt{2}\pi }A_\mathrm{S}T.$$
(13)
The period $`T`$ and the amplitude $`A_\mathrm{S}`$ also affects the vertical shift of $`F_\mathrm{S}(n)`$ in both regions. We note that in Eqs.(12) and (13), $`F_\mathrm{S}(n)`$ is proportional to the amplitude $`A_\mathrm{S}`$, a behavior which is also observed for the linear trend \[Eq. (7)\].

### B DFA-1 on noise with sinusoidal trend

In this section, we study how the sinusoidal trend affects the scaling behavior of noise with different type of correlations. We apply the DFA-1 method to a signal which is a superposition of correlated noise with a sinusoidal trend. We observe that there are typically three crossovers in the rms fluctuation $`F_{\eta \mathrm{S}}(n)`$ at characteristic scales denoted by $`n_{1\times }`$, $`n_{2\times }`$ and $`n_{3\times }`$ \[Fig. 6\]. These three crossovers divide $`F_{\eta \mathrm{S}}(n)`$ into four regions, as shown in Fig. 6(a) (the third crossover cannot be seen in Fig. 6(b) because its scale $`n_{3\times }`$ is greater than the length of the signal). We find that the first and third crossovers at scales $`n_{1\times }`$ and $`n_{3\times }`$ respectively \[see Fig. 6\] result from the competition between the effects on $`F_{\eta \mathrm{S}}(n)`$ of the sinusoidal signal and the correlated noise. For $`n<n_{1\times }`$ (region I) and $`n>n_{3\times }`$ (region IV), we find that the noise has the dominating effect ($`F_\eta (n)>F_\mathrm{S}(n)`$), so the behavior of $`F_{\eta \mathrm{S}}(n)`$ is very close to the behavior of $`F_\eta (n)`$ \[Eq. (10)\]. For $`n_{1\times }<n<n_{2\times }`$ (region II) and $`n_{2\times }<n<n_{3\times }`$ (region III) the sinusoidal trend dominates ($`F_\mathrm{S}(n)>F_\eta (n)`$), thus the behavior of $`F_{\eta \mathrm{S}}(n)`$ is close to $`F_\mathrm{S}(n)`$ \[see Fig. 6 and Fig. 7\].

To better understand why there are different regions in the behavior of $`F_{\eta \mathrm{S}}(n)`$, we consider the detrended fluctuation function \[Eq. (3) and Appendix B\] of the correlated noise $`Y_\eta (i)`$, and of the noise with sinusoidal trend $`Y_{\eta \mathrm{S}}`$. In Fig. 7 we compare $`Y_\eta (i)`$ and $`Y_{\eta \mathrm{S}}(i)`$ for anticorrelated and correlated noise in the four different regions. For very small scales $`n<n_{1\times }`$, the effect of the sinusoidal trend is not pronounced, $`Y_{\eta \mathrm{S}}(i)Y_\eta (i)`$, indicating that in this scale region the signal can be considered as noise fluctuating around a constant trend which is filtered out by the DFA-1 procedure \[Fig. 7(a)(b)\]. Note, that the behavior of $`Y_{\eta \mathrm{S}}`$ \[Fig. 7(b)\] is identical to the behavior of $`Y_{\eta \mathrm{L}}`$ \[Fig. 2(b)\], since both a sinusoidal with a large period $`T`$ and a linear trend with small slope $`A_\mathrm{L}`$ can be well approximated by a constant trend for $`n<n_{1\times }`$. For small scales $`n_{1\times }<n<n_{2\times }`$ (region II), we find that there is a dominant quadratic background for $`Y_{\eta \mathrm{S}}(i)`$ \[Fig. 7(d)\]. This quadratic background is due to the integration procedure in DFA-1, and is represented by the detrended fluctuation function of the sinusoidal trend $`Y_\mathrm{S}(i)`$. It is similar to the quadratic background observed for linear trend $`Y_{\eta \mathrm{L}}(i)`$ \[Fig. 2(d)\] — i.e. for $`n_{1\times }<n<n_{2\times }`$ the sinusoidal trend behaves as a linear trend and $`Y_\mathrm{S}(i)Y_\mathrm{L}(i)`$. Thus in region II the “linear trend” effect of the sinusoidal is dominant, $`Y_\mathrm{S}>Y_\eta `$, which leads to $`F_{\eta \mathrm{S}}(n)F_\mathrm{S}(n)`$. This explains also why $`F_{\eta \mathrm{S}}(n)`$ for $`n<n_{2\times }`$ (Fig. 6) exhibits crossover behavior similar to the one of $`F_{\eta \mathrm{L}}(n)`$ observed for noise with a linear trend. For $`n_{2\times }<n<n_{3\times }`$ (region III) the sinusoidal behavior is strongly pronounced \[Fig. 7(f)\], $`Y_\mathrm{S}(i)Y_\eta (i)`$, and $`Y_{\eta \mathrm{S}}(i)Y_\mathrm{S}(i)`$ changes periodically with period equal to the period of the sinusoidal trend $`T`$. Since $`Y_{\eta \mathrm{S}}(i)`$ is bounded between a minimum and a maximum value, $`F_{\eta \mathrm{S}}(n)`$ cannot increase and exhibits a flat region (Fig. 6). At very large scales, $`n>n_{3\times }`$, the noise effect is again dominant ($`Y_\mathrm{S}(i)`$ remains bounded, while $`Y_\eta `$ grows when increasing the scale) which leads to $`F_{\eta \mathrm{S}}(n)F_\eta (n)`$, and a scaling behavior corresponding to the scaling of the correlated noise.

First, we consider $`n_{1\times }`$. Surprisingly, we find that for noise with any given correlation exponent $`\alpha `$ the crossover scale $`n_{1\times }`$ exhibits long-range power-law dependence of the period $`T`$$`n_{1\times }T^{\theta _{\mathrm{T1}}}`$, and the amplitude $`A_\mathrm{S}`$$`n_{1\times }\left(A_\mathrm{S}\right)^{\theta _{\mathrm{A1}}}`$ of the sinusoidal trend \[see Fig. 8(a) and (b)\]. We find that the ”crossover exponents” $`\theta _{\mathrm{T1}}`$ and $`\theta _{\mathrm{A1}}`$ have the same magnitude but different sign — $`\theta _{\mathrm{T1}}`$ is positive while $`\theta _{\mathrm{A1}}`$ is negative. We also find that the magnitude of $`\theta _{\mathrm{T1}}`$ and $`\theta _{\mathrm{A1}}`$ increases for the larger values of the correlation exponents $`\alpha `$ of the noise. We present the values of $`\theta _{\mathrm{T1}}`$ and $`\theta _{\mathrm{A1}}`$ for different correlation exponent $`\alpha `$ in Table II. To understand these power-law relations between $`n_{1\times }`$ and $`T`$, and between $`n_{1\times }`$ and $`A_\mathrm{S}`$, and also how the crossover scale $`n_{1\times }`$ depends on the correlation exponent $`\alpha `$ we employ the superposition rule \[Eq. 10\] and estimate $`n_{1\times }`$ analytically as the first intercept $`n_{1\times }^{th}`$ of $`F_\eta (n)`$ and $`F_\mathrm{S}(n)`$. From Eqs. (12) and (6), we obtain the following dependence of $`n_{1\times }`$ on $`T`$, $`A_\mathrm{S}`$ and $`\alpha `$:

$$n_{1\times }=\left(\frac{b_0}{k_1}\frac{T}{A_\mathrm{S}}\right)^{1/(2\alpha )}$$
(14)
From this analytical calculation we obtain the following relation between the two crossover exponents $`\theta _{\mathrm{T1}}`$ and $`\theta _{\mathrm{A1}}`$ and the correlation exponent $`\alpha `$: $`\theta _{\mathrm{T1}}=\theta _{\mathrm{A1}}=1/(2\alpha )`$, which is in a good agreement with the observed values of $`\theta _{\mathrm{T1}}`$, $`\theta _{\mathrm{A1}}`$ obtained from simulations \[see Fig. 8(a) (b) and Table II\].

Next, we consider $`n_{2\times }`$. Our analysis of the rms fluctuation function $`F_\mathrm{S}(n)`$ for the sinusoidal signal in Fig. 5 suggests that the crossover scale $`F_\mathrm{S}(n)`$ does not depend on the amplitude $`A_\mathrm{S}`$ of the sinusoidal. The behavior of the rms fluctuation function $`F_{\eta \mathrm{S}}(n)`$ for noise with superimposed sinusoidal trend in Fig. 6(a) and (b) indicates that $`n_{2\times }`$ does not depend on the correlation exponent $`\alpha `$ of the noise, since for both correlated ($`\alpha =0.9`$) and anticorrelated ($`\alpha =0`$) noise ($`T`$ and $`A_\mathrm{S}`$ are fixed), the crossover scale $`n_{2\times }`$ remains unchanged. We find that $`n_{2\times }`$ depends only on the period $`T`$ of the sinusoidal trend and exhibits a long-range power-law behavior $`n_{2\times }T^{\theta _{\mathrm{T2}}}`$ with a crossover exponent $`\theta _{\mathrm{T2}}1`$ (Fig. 8(c)) which is in agreement with the prediction of Eq.(11).

For the third crossover scale $`n_{3\times }`$, as for $`n_{1\times }`$ we find a power-law dependence on the period $`T`$, $`n_{3\times }T^{\theta _{T3}}`$, and amplitude $`A_\mathrm{S}`$, $`n_{3\times }\left(A_\mathrm{S}\right)^{\theta _{A3}}`$,of the sinusoidal trend \[see Fig. 8(d) and (e)\]. However, in contrast to the $`n_{1\times }`$ case, we find that the crossover exponents $`\theta _{\mathrm{Tp3}}`$ and $`\theta _{\mathrm{A3}}`$ are equal and positive with decreasing values for increasing correlation exponents $`\alpha `$. In Table III, we present the values of these two exponents for different correlation exponent $`\alpha `$. To understand how the scale $`n_{3\times }`$ depends on $`T`$, $`A_\mathrm{S}`$ and the correlation exponent $`\alpha `$ simultaneously, we again employ the superposition rule \[Eq. (10)\] and estimate $`n_{3\times }`$ as the second intercept $`n_{3\times }^{th}`$ of $`F_\eta (n)`$ and $`F_\mathrm{S}(n)`$. From Eqs. (13) and (6), we obtain the following dependence:

$$n_{3\times }=\left(\frac{1}{2\sqrt{2}\pi b_0}A_\mathrm{S}T\right)^{1/\alpha }.$$
(15)
From this analytical calculation we obtain $`\theta _{\mathrm{T3}}=\theta _{\mathrm{A3}}=1/\alpha `$ which is in good agreement with the values of $`\theta _{\mathrm{T3}}`$ and $`\theta _{\mathrm{A3}}`$ observed from simulations \[Table III\].

Finally, our simulations show that all three crossover scales $`n_{1\times }`$, $`n_{2\times }`$ and $`n_{3\times }`$ do not depend on the length of the signal $`N_{max}`$, since $`F_\eta (n)`$ and $`F_\mathrm{S}(n)`$ do not depend on $`N_{max}`$ as shown in Eqs. (6), (10), (12), and (13).

### C Higher order DFA on pure sinusoidal trend

In the previous Sec. IV B, we discussed how sinusoidal trends affect the scaling behavior of correlated noise when the DFA-1 method is applied. Since DFA-1 removes only constant trends in data, it is natural to ask how the observed scaling results will change when we apply DFA of order $`\mathrm{}`$ designed to remove polynomial trends of order lower than $`\mathrm{}`$. In this section, we first consider the rms fluctuation $`F_\mathrm{S}`$ for a sinusoidal signal and then we study the scaling and crossover properties of $`F_{\eta \mathrm{S}}`$ for correlated noise with superimposed sinusoidal signal when higher order DFA is used.

We find that the rms fluctuation function $`F_\mathrm{S}`$ does not depend on the length of the signal $`N_{max}`$, and preserves a similar shape when different order-$`\mathrm{}`$ DFA method is used \[Fig. 9\]. In particular, $`F_\mathrm{S}`$ exhibits a crossover at a scale $`n_{2\times }`$ proportional to the period $`T`$ of the sinusoidal: $`n_{2\times }T^{\theta _{\mathrm{T2}}}`$ with $`\theta _{\mathrm{T2}}1`$. The crossover scale shifts to larger values for higher order $`\mathrm{}`$ \[Fig. 5 and Fig. 9\]. For the scale $`n<n_{2\times }`$, $`F_\mathrm{S}`$ exhibits an apparent scaling: $`F_\mathrm{S}n^{\alpha _\mathrm{S}}`$ with an effective exponent $`\alpha _\mathrm{S}=\mathrm{}+1`$. For DFA-1, we have $`\mathrm{}=1`$ and recover $`\alpha _\mathrm{S}=2`$ as shown in Eq. (12). For $`n>n_{2\times }`$, $`F_\mathrm{S}(n)`$ is a constant independent of the scale $`n`$, and of the order $`\mathrm{}`$ of the DFA method in agreement with Eq. (13).

Next, we consider $`F_{\eta \mathrm{S}}(n)`$ when DFA-$`\mathrm{}`$ with a higher order $`\mathrm{}`$ is used. We find that for all orders $`\mathrm{}`$, $`F_{\eta \mathrm{S}}(n)`$ does not depend on the length of the signal $`N_{max}`$ and exhibits three crossovers — at small, intermediate and large scales — similar behavior is reported for DFA-1 in Fig. 6. Since the crossover at small scales, $`n_{1\times }`$, and the crossover at large scale, $`n_{3\times }`$, result from the “competition” between the scaling of the correlated noise and the effect of the sinusoidal trend (Figs. 6 and 7), using the superposition rule \[Eq. (10)\] we can estimate $`n_{1\times }`$ and $`n_{3\times }`$ as the intercepts of $`F_\eta (n)`$ and $`F_\mathrm{S}(n)`$ for the general case of DFA-$`\mathrm{}`$.

For $`n_{1\times }`$ we find the following dependence on the period $`T`$, amplitude $`A_\mathrm{S}`$, the correlation exponent $`\alpha `$ of the noise, and the order $`\mathrm{}`$ of the DFA-$`\mathrm{}`$ method:

$$n_{1\times }\left(T/A_\mathrm{S}\right)^{1/(\mathrm{}+1\alpha )}$$
(16)
For DFA-1, we have $`\mathrm{}=1`$ and we recover Eq. (14). In addition, $`n_{1\times }`$ is shifted to larger scales when higher order DFA-$`\mathrm{}`$ is applied, due to the fact that the value of $`F_\mathrm{S}(n)`$ decreases when $`\mathrm{}`$ increases ($`\alpha _\mathrm{S}=\mathrm{}+1`$, see Fig. 9).

For the third crossover observed in $`F_{\eta \mathrm{S}}(n)`$ at large scale $`n_{3\times }`$ we find for all orders $`\mathrm{}`$ of the DFA-$`\mathrm{}`$ the following scaling relation:

$$n_{3\times }(TA_\mathrm{S})^{1/\alpha }.$$
(17)
Since the scaling function $`F_\eta (n)`$ for correlated noise shifts vertically to lower values when higher order DFA-$`\mathrm{}`$ is used \[see the discussion in Appendix A and Sec. V B\], $`n_{3\times }`$ exhibits a slight shift to larger scales.

For the crossover $`n_{2\times }`$ in $`F_{\eta \mathrm{S}}(n)`$ at $`F_{\eta \mathrm{S}}(n)`$ at intermediate scales, we find: $`n_{2\times }T`$. This relation is independent of the order $`\mathrm{}`$ of the DFA and is identical to the relation found for $`F_\mathrm{S}(n)`$ \[Eq. (11)\]. $`n_{2\times }`$ also exhibits a shift to larger scales when higher order DFA is used \[see Fig. 9\].

The reported here features of the crossovers in $`F_{\eta \mathrm{S}}(n)`$ can be used to identify low-frequency sinusoidal trends in noisy data, and to recognize their effects on the scaling properties of the data. This information may be useful when quantifying correlation properties in data by means of scaling analysis.

## V Noise with Power-law trends

In this section we study the effect of power-law trends on the scaling properties of noisy signals. We consider the case of correlated noise with superposed power-law trend $`u(i)=A_\mathrm{P}i^\lambda `$, when $`A_\mathrm{P}`$ is a positive constant, $`i=1,\mathrm{},N_{max}`$, and $`N_{max}`$ is the length of the signal. We find that when the DFA-1 method is used, the rms fluctuation function $`F_{\eta \mathrm{P}}(n)`$ exhibits a crossover between two scaling regions \[Fig. 10\]. This behavior results from the fact that at different scales $`n`$, either the correlated noise or the power-law trend is dominant, and can be predicted by employing the superposition rule:

$$\left[F_{\eta \mathrm{P}}(n)\right]^2=\left[F_\eta (n)\right]^2+\left[F_\mathrm{P}(n)\right]^2,$$
(18)
where $`F_\eta (n)`$ and $`F_\mathrm{P}(n)`$ are the rms fluctuation function of noise and the power-law trend respectively, and $`F_{\eta \mathrm{P}}(n)`$ is the rms fluctuation function for the superposition of the noise and the power-law trend. Since the behavior of $`F_\eta (n)`$ is known (Eq. (6) and Appendix A), we can understand the features of $`F_{\eta \mathrm{P}}(n)`$, if we know how $`F_\mathrm{P}(n)`$ depends on the characteristics of the power-law trend. We note that the scaling behavior of $`F_{\eta \mathrm{P}}(n)`$ displayed in Fig. 10(a) is to some extent similar to the behavior of the rms fluctuation function $`F_{\eta \mathrm{L}}(n)`$ for correlated noise with a linear trend \[Fig. 1\] — e.g. the noise is dominant at small scales $`n`$, while the trend is dominant at large scales. However, the behavior $`F_\mathrm{P}(n)`$ is more complex than that of $`F_\mathrm{L}(n)`$ for the linear trend, since the effective exponent $`\alpha _\lambda `$ for $`F_\mathrm{P}(n)`$ can depend on the power $`\lambda `$ of the power-law trend. In particular, for negative values of $`\lambda `$, $`F_\mathrm{P}(n)`$ can become dominated at small scales (Fig. 10(b)) while $`F_\eta (n)`$ dominates at large scales — a situation completely opposite of noise with linear trend (Fig. 1) or with power-law trend with positive values for the power $`\lambda `$. Moreover, $`F_\mathrm{P}(n)`$ can exhibit crossover behavior at small scales \[Fig. 10(b)\] for negative $`\lambda `$ which is not observed for positive $`\lambda `$. In addition $`F_\mathrm{P}(n)`$ depends on the order $`\mathrm{}`$ of the DFA method and the length $`N_{max}`$ of the signal. We discuss the scaling features of the power-law trends in the following three subsections.

### A Dependence of $`F_\mathrm{P}(n)`$ on the power $`\lambda `$

First we study how the rms fluctuation function $`F_\mathrm{P}(n)`$ for a power-law trend $`u(i)=A_\mathrm{P}i^\lambda `$ depends on the power $`\lambda `$. We find that

$$F_\mathrm{P}(n)A_\mathrm{P}n^{\alpha _\lambda },$$
(19)
where $`\alpha _\lambda `$ is the effective exponent for the power-law trend. For positive $`\lambda `$ we observe no crossovers in $`F_\mathrm{P}(n)`$ (Fig. 10(a)). However, for negative $`\lambda `$ there is a crossover in $`F_\mathrm{P}(n)`$ at small scales $`n`$ (Fig. 10(b)), and we find that this crossover becomes even more pronounced with decreasing $`\lambda `$ or increasing the order $`\mathrm{}`$ of the DFA method, and is also shifted to larger scales \[Fig. 11(a)\].

Next, we study how the effective exponent $`\alpha _\lambda `$ for $`F_\mathrm{P}(n)`$ depends on the value of the power $`\lambda `$ for the power-law trend. We examine the scaling of $`F_\mathrm{P}(n)`$ and estimate $`\alpha _\lambda `$ for $`4<\lambda <4`$. In the cases when $`F_\mathrm{P}(n)`$ exhibits a crossover, in order to obtain $`\alpha _\lambda `$ we fit the range of larger scales to the right of the crossover. We find that for any order $`\mathrm{}`$ of the DFA-$`\mathrm{}`$ method there are three regions with different relations between $`\alpha _\lambda `$ and $`\lambda `$ \[Fig. 11(b)\]:

(i) $`\alpha _\lambda \mathrm{}+1`$ for $`\lambda >\mathrm{}0.5`$ (region I);

(ii) $`\alpha _\lambda \lambda +1.5`$ for $`1.5\lambda \mathrm{}0.5`$ (region II);

(iii) $`\alpha _\lambda 0`$ for $`\lambda <1.5`$ (region III).

Note, that for integer values of the power $`\lambda `$ ($`\lambda =0,1,\mathrm{},m1`$), i.e. polynomial trends of order $`m1`$, the DFA-$`\mathrm{}`$ method of order $`\mathrm{}>m1`$ ($`\mathrm{}`$ is also an integer) leads to $`F_\mathrm{P}(n)0`$, since DFA-$`\mathrm{}`$ is designed to remove polynomial trends. Thus for a integer values of the power $`\lambda `$ there is no scaling and the effective exponent $`\alpha _\lambda `$ is not defined if a DFA-$`\mathrm{}`$ method of order $`\mathrm{}>\lambda `$ is used \[Fig. 11\]. However, it is of interest to examine the asymptotic behavior of the scaling of $`F_\mathrm{P}(n)`$ when the value of the power $`\lambda `$ is close to an integer. In particular , we consider how the scaling of $`F_\mathrm{P}(n)`$ obtained from DFA-2 method changes when $`\lambda 1`$ \[Fig. 11(c)\]. Surprisingly, we find that even though the values of $`F_\mathrm{P}(n)`$ are very small at large scales, there is a scaling for $`F_\mathrm{P}(n)`$ with a smooth convergence of the effective exponent $`\alpha _\lambda 2.5`$ when $`\lambda 1`$, according to the dependence $`\alpha _\lambda \lambda +1.5`$ established for region II \[Fig. 11(b)\]. At smaller scales there is a flat region which is due to the fact that the fluctuation function $`Y(i)`$ (Eq. (3)) is smaller than the precision of the numerical simulation.

### B Dependence of $`F_\mathrm{P}(n)`$ on the order $`\mathrm{}`$ of DFA

Another factor that affects the rms fluctuation function of the power-law trend $`F_\mathrm{P}(n)`$, is the order $`\mathrm{}`$ of the DFA method used. We first take into account that:

(1) for integer values of the power $`\lambda `$, the power-law trend $`u(i)=A_\mathrm{P}i^\lambda `$ is a polynomial trend which can be perfectly filtered out by the DFA method of order $`\mathrm{}>\lambda `$, and as discussed in Sec. III B and Sec. V A \[see Fig. 11(b) and (c)\], there is no scaling for $`F_\mathrm{P}(n)`$. Therefore, in this section we consider only non-integer values of $`\lambda `$.

(2) for a given value of the power $`\lambda `$, the effective exponent $`\alpha _\lambda `$ can take different values depending on the order $`\mathrm{}`$ of the DFA method we use \[see Fig. 11\] — e.g. for fixed $`\lambda >\mathrm{}0.5`$, $`\alpha _\lambda \mathrm{}+1`$. Therefore, in this section, we consider only the case when $`\lambda <\mathrm{}0.5`$ (Region II and III).

Since higher order DFA-$`\mathrm{}`$ provides a better fit for the data, the fluctuation function $`Y(i)`$ (Eq. (3)) decreases with increasing order $`\mathrm{}`$. This leads to a vertical shift to smaller values of the rms fluctuation function $`F(n)`$ (Eq. (4)). Such a vertical shift is observed for the rms fluctuation function $`F_\eta (n)`$ for correlated noise (see Appendix A), as well as for the rms fluctuation function of power-law trend $`F_\mathrm{P}(n)`$. Here we ask how this vertical shift in $`F_\eta (n)`$ and $`F_\mathrm{P}(n)`$ depends on the order $`\mathrm{}`$ of the DFA method, and if this shift has different properties for $`F_\eta (n)`$ compared to $`F_\mathrm{P}(n)`$. This information can help identify power-law trends in noisy data, and can be used to differentiate crossovers separating scaling regions with different types of correlations, and crossovers which are due to effects of power-law trends.

We consider correlated noise with a superposed power-law trend, where the crossover in $`F_{\eta \mathrm{P}}(n)`$ at large scales $`n`$ results from the dominant effect of the power-law trend — $`F_{\eta \mathrm{P}}(n)F_\mathrm{P}(n)`$ (Eq. (18) and Fig. 10(a)). We choose the power $`\lambda <0.5`$, a range where for all orders $`\mathrm{}`$ of the DFA method the effective exponent $`\alpha _\lambda `$ of $`F_\mathrm{P}(n)`$ remains the same — i.e. $`\alpha _\lambda =\lambda +1.5`$ (region II in Fig. 11(b)). For a superposition of an anticorrelated noise and power-law trend with $`\lambda =0.4`$, we observe a crossover in the scaling behavior of $`F_{\eta \mathrm{P}}(n)`$, from a scaling region characterized by the correlation exponent $`\alpha =0.1`$ of the noise, where $`F_{\eta \mathrm{P}}(n)F_\eta (n)`$, to a region characterized by an effective exponent $`\alpha _\lambda =1.9`$, where $`F_{\eta \mathrm{P}}(n)F_\mathrm{P}(n)`$, for all orders $`\mathrm{}=1,2,3`$ of the DFA-$`\mathrm{}`$ method \[Fig. 12(a)\]. We also find that the crossover of $`F_{\eta \mathrm{P}}(n)`$ shifts to larger scales when the order $`\mathrm{}`$ of DFA-$`\mathrm{}`$ increases, and that there is a vertical shift of $`F_{\eta \mathrm{P}}(n)`$ to lower values. This vertical shift in $`F_{\eta \mathrm{P}}(n)`$ at large scales, where $`F_{\eta \mathrm{P}}(n)=F_\mathrm{P}(n)`$, appears to be different in magnitude when different order $`\mathrm{}`$ of the DFA-$`\mathrm{}`$ method is used \[Fig. 12(a)\]. We also observe a less pronounced vertical shift at small scales where $`F_{\eta \mathrm{P}}(n)F_\eta (n)`$.

Next, we ask how these vertical shifts depend on the order $`\mathrm{}`$ of DFA-$`\mathrm{}`$. We define the vertical shift $`\mathrm{\Delta }`$ as the y-intercept of $`F_\mathrm{P}(n)`$: $`\mathrm{\Delta }F_\mathrm{P}(n=1)`$. We find that the vertical shift $`\mathrm{\Delta }`$ in $`F_\mathrm{P}(n)`$ for power-law trend follows a power law: $`\mathrm{\Delta }\mathrm{}^{\tau (\lambda )}`$. We tested this relation for orders up to $`\mathrm{}=10`$, and we find that it holds for different values of the power $`\lambda `$ of the power-law trend \[Fig. 12(b)\]. Using Eq. (19) we can write: $`F_\mathrm{P}(n)/F_\mathrm{P}(n=1)=n^{\alpha _\lambda }`$, i.e. $`F_\mathrm{P}(n)F_\mathrm{P}(n=1)`$. Since $`F_\mathrm{P}(n=1)\mathrm{\Delta }\mathrm{}^{\tau (\lambda )}`$ \[Fig. 12(b)\], we find that:

$$F_\mathrm{P}(n)\mathrm{}^{\tau (\lambda )}.$$
(20)
We also find that the exponent $`\tau `$ is negative and is a decreasing function of the power $`\lambda `$ \[Fig. 12(c)\]. Because the effective exponent $`\alpha _\lambda `$ which characterizes $`F_\mathrm{P}(n)`$ depends on the power $`\lambda `$ \[see Fig. 11(b)\], we can express the exponent $`\tau `$ as a function of $`\alpha _\lambda `$ as we show in Fig. 12(d). This representation can help us compare the behavior of the vertical shift $`\mathrm{\Delta }`$ in $`F_\mathrm{P}(n)`$ with the shift in $`F_\eta (n)`$. For correlated noise with different correlation exponent $`\alpha `$, we observe a similar power-law relation between the vertical shift in $`F_\eta (n)`$ and the order $`\mathrm{}`$ of DFA-$`\mathrm{}`$: $`\mathrm{\Delta }\mathrm{}^{\tau (\alpha )}`$, where $`\tau `$ is also a negative exponent which decreases with $`\alpha `$. In Fig. 12(d) we compare $`\tau (\alpha _\lambda )`$ for $`F_\mathrm{P}(n)`$ with $`\tau (\alpha )`$ for $`F_\eta (n)`$, and find that for any $`\alpha _\lambda =\alpha `$, $`\tau (\alpha _\lambda )<\tau (\alpha )`$. This difference between the vertical shift for correlated noise and for a power-law trend can be utilized to recognize effects of power-law trends on the scaling properties of data.

### C Dependence of $`F_\mathrm{P}(n)`$ on the signal length $`N_{max}`$

Here, we study how the rms fluctuation function $`F_\mathrm{P}(n)`$ depends on the length $`N_{max}`$ of the power-law signal $`u(i)=A_\mathrm{P}i^\lambda `$ ($`i=1,\mathrm{},N_{max}`$). We find that there is a vertical shift in $`F_\mathrm{P}(n)`$ with increasing $`N_{max}`$ \[Fig. 13(a)\]. We observe that when doubling the length $`N_{max}`$ of the signal the vertical shift in $`F_\mathrm{P}(n)`$, which we define as $`F_\mathrm{P}^{2N_{max}}/F_\mathrm{P}^{N_{max}}`$, remains the same, independent of the value of $`N_{max}`$. This suggests a power-law dependence of $`F_\mathrm{P}(n)`$ on the length of the signal:

$$F_\mathrm{P}(n)\left(N_{max}\right)^\gamma ,$$
(21)
where $`\gamma `$ is an effective scaling exponent.

Next, we ask if the vertical shift depends on the power $`\lambda `$ of the power-law trend. When doubling the length $`N_{max}`$ of the signal, we find that for $`\lambda <\mathrm{}0.5`$, where $`\mathrm{}`$ is the order of the DFA method, the vertical shift is a constant independent of $`\lambda `$ \[Fig. 13(b)\]. Since the value of the vertical shift when doubling the length $`N_{max}`$ is $`2^\gamma `$ (from Eq. (21)), the results in Fig. 13(b) show that $`\gamma `$ is independent of $`\lambda `$ when $`\lambda <\mathrm{}0.5`$, and that $`\mathrm{log}2^\gamma 0.15`$, i.e. the effective exponent $`\gamma 0.5`$.

For $`\lambda >\mathrm{}0.5`$, when doubling the length $`N_{max}`$ of the signal, we find that the vertical shift $`2^\gamma `$ exhibits the following dependence on $`\lambda `$: $`\mathrm{log}_{10}2^\gamma =\mathrm{log}_{10}2^\lambda \mathrm{}`$, and thus the effective exponent $`\gamma `$ depends on $`\lambda `$$`\gamma =\lambda \mathrm{}`$. For positive integer values of $`\lambda `$ ($`\lambda =\mathrm{}`$), we find that $`\gamma =0`$, and there is no shift in $`F_\mathrm{P}(n)`$, suggesting that $`F_\mathrm{P}(n)`$ does not depend on the length $`N_{max}`$ of the signal, when DFA of order $`\mathrm{}`$ is used \[Fig. 13\]. Finally, we note that depending on the effective exponent $`\gamma `$, i.e. on the order $`\mathrm{}`$ of the DFA method and the value of the power $`\lambda `$, the vertical shift in the rms fluctuation function $`F_\mathrm{P}(n)`$ for power-law trend can be positive ($`\lambda >\mathrm{}`$), negative ($`\lambda <\mathrm{}`$), or zero ($`\lambda =\mathrm{}`$).

### D Combined effect on $`F_\mathrm{P}(n)`$ of $`\lambda `$, $`\mathrm{}`$ and $`N_{max}`$

We have seen that, taking into account the effects of the power $`\lambda `$ (Eq. (19)), the order $`\mathrm{}`$ of DFA-$`\mathrm{}`$ (Eq. (20)) and the effect of the length of the signal $`N_{max}`$ (Eq. (21)), we reach the following expression for the rms fluctuation function $`F_\mathrm{P}(n)`$ for a power-law trend $`u(i)=A_\mathrm{P}i^\lambda `$:

$`F_\mathrm{P}(n)A_\mathrm{P}n^{\alpha _\lambda }\mathrm{}^{\tau (\lambda )}\left(N_{max}\right)^{\gamma (\lambda )},`$ (22)
For correlated noise, the rms fluctuation function $`F_\eta (n)`$ depends on the box size $`n`$ (Eq. (6)) and on the order $`\mathrm{}`$ of DFA-$`\mathrm{}`$ (Sec. V B and Fig. 12(a), (d)), and does not depend on the length of the signal $`N_{max}`$. Thus we have the following expression for $`F_\eta (n)`$

$$F_\eta (n)n^\alpha \mathrm{}^{\tau (\alpha )},$$
(23)
To estimate the crossover scale $`n_\times `$ observed in the apparent scaling of $`F_{\eta \mathrm{P}}(n)`$ for a correlated noise superposed with a power-law trend \[Fig. 10(a), (b) and Fig. 12(a)\], we employ the superposition rule (Eq. (18)). From Eq. (22) and Eq. (23), we obtain $`n_\times `$ as the intercept between $`F_\mathrm{P}(n)`$ and $`F_\eta (n)`$:

$$n_\times \left[Al^{\tau (\lambda )\tau (\alpha )}\left(N_{max}\right)^\gamma \right]^{1/(\alpha \alpha _\lambda )}.$$
(24)
To test the validity of this result, we consider the case of correlated noise with a linear trend. For the case of a linear trend ($`\lambda =1`$) when DFA-1 ($`\mathrm{}=1`$) is applied, we have $`\alpha _\lambda =2`$ (see Appendix C and Sec. V A, Fig. 11(b)). Since in this case $`\lambda =\mathrm{}=1>\mathrm{}0.5`$ we have $`\gamma =\lambda \mathrm{}=0`$ (see Sec.V C Fig. 13(b)), and from Eq. (24) we recover Eq. (9).

## VI Conclusion and Summary

In this paper we show that the DFA method performs better than the standard R/S analysis to quantify the scaling behavior of noisy signals for a wide range of correlations, and we estimate the range of scales where the performance of the DFA method is optimal. We consider different types of trends superposed on correlated noise, and study how these trends affect the scaling behavior of the noise. We demonstrate that there is a competition between a trend and a noise, and that this competition can lead to crossovers in the scaling. We investigate the features of these crossovers, their dependence on the properties of the noise and the superposed trend. Surprisingly, we find that crossovers which are a result of trends can exhibit power-law dependences on the parameters of the trends. We show that these crossover phenomena can be explained by the superposition of the separate results of the DFA method on the noise and on the trend, assuming that the noise and the trend are not correlated, and that the scaling properties of the noise and the apparent scaling behavior of the trend are known. Our work may provide some help to differentiate between different types of crossovers — e.g. crossovers which separate scaling regions with different correlation properties may differ from crossovers which are an artifact of trends. The results we present here could be useful for identifying the presence of trends and to accurately interpret correlation properties of noisy data.

###### Acknowledgements.

We thank NIH/National Center for Research Resources (P41RR13622), NSF and the Spanish Government (BIO99-0651-CO2-01) for support, and C.-K. Peng, A.L. Goldberger and Y. Ashkenazy for helpful discussions. When concluding our work, we became aware of an independent study by J.W. Kantelhardt et. al, where similar issues are discussed. We thank J.W. Kantelhardt and A. Bunde for sending us their preprint before publication.

## A Noise

The standard signals we generate in our study are uncorrelated, correlated, and anticorrelated noise. First we must have a clear idea of the scaling behaviors of these standard signals before we use them to study the effects from other aspects. We generate noises by using a modified Fourier filtering method. This method can efficiently generate noise, $`u(i)`$ ($`i=1,2,3,\mathrm{},N_{\text{max}}`$), with the desired power-law correlation function which asymptotically behaves as: $`<|\underset{j=i}{\overset{i+t}{}}u(j)|^2>t^{2\alpha }`$. By default, a generated noise has standard deviation $`\sigma =1`$. Then we can test DFA and R/S by applying it on generated noises since we know the expected scaling exponent $`\alpha `$.

Before doing that, we want to briefly review the algorithm of R/S analysis. For a signal $`u(i)`$($`i=1,\mathrm{},N_{\text{max}}`$), it is divided into boxes of equal size $`n`$. In each box, the cumulative departure, $`X_i`$ (for $`k`$-th box, $`i=kn+1,\mathrm{},kn+n`$), is calculated

$$X_i=\underset{j=kn+1}{\overset{i}{}}(u(j)<u>)$$
(A1)
where $`<u>=n^1\underset{i=kn+1}{\overset{(k+1)n}{}}u(i)`$ , and the rescaled range $`R/S`$ is defined by

$$R/S=S^1\left[\underset{kn+1i(k+1)n}{\mathrm{max}}X_i\underset{kn+1i(k+1)n}{\mathrm{min}}X_i\right],$$
(A2)
where $`S=\sqrt{n^1\underset{j=1}{\overset{n}{}}(u(j)<u>)^2}`$ is the standard deviation in each box. The average of rescaled range in all the boxes of equal size $`n`$, is obtained and denoted by $`<R/S>`$. Repeat the above computation over different box size $`n`$ to provide a relationship between $`<R/S>`$ and $`n`$. According to Hurst’s experimental study, a power-law relation between $`<R/S>`$ and the box size $`n`$ indicates the presence of scaling: $`<R/S>n^\alpha `$.

Figure 14 shows the results of R/S, DFA-1 and DFA-2 on the same generated noises. Loosely speaking, we can see that $`F(n)`$ (for DFA) and $`R/S`$ (for R/S analysis) show power-law relation with $`n`$ as expected: $`F(n)n^\alpha `$ and $`R/Sn^\alpha `$. In addition, there is no significant difference between the results of different order DFA except for some vertical shift of the curves and the little bend-down for small box size $`n`$. The bent-down for very small box of $`F(n)`$ from higher order DFA is because there are more variables to fit those few points.

Ideally, when analyzing a standard noise, $`F(n)`$ (DFA) and $`R/S`$ ($`R/S`$ analysis) will be a power-law function with a given power: $`\alpha `$, no matter which region of $`F(n)`$ and $`R/S`$ is chosen for calculation. However, a careful study shows that the scaling exponent $`\alpha `$ depends on scale $`n`$. The estimated $`\alpha `$ is different for the different regions of $`F(n)`$ and $`R/S`$ as illustrated by Figs. 14(a) and 14(b) and by Tables IV and V. It is very important to know the best fitting region of DFA and R/S analysis in the study of real signals. Otherwise, the wrong $`\alpha `$ will be obtained if an inappropriate region is selected.

In order to find the best region, we first determine the dependence of the locally estimated $`\alpha `$, $`\alpha _{\text{loc}}`$, on the scale $`n`$. First, generate a standard noise with given scaling exponent $`\alpha `$; then calculate $`F(n)`$ (or $`R/S`$), and obtain $`\alpha _{\text{loc}}(n)`$ by local fitting of $`F(n)`$ (or $`R/S`$). Same random simulation is repeated 50 times for both DFA and R/S analysis. The resultant average $`\alpha _{\text{loc}}(n)`$, respectively, are illustrated in Fig.15 for DFA-1 and R/S analysis.

If a scaling analysis method is working properly, then the result $`\alpha _{\text{loc}}(n)`$ from simulation with $`\alpha `$ would be a horizontal line with slight fluctuation centered about $`\alpha _{\text{loc}}(n)=\alpha `$. Note from Fig.15 that such a horizontal behavior does not hold for all the scales $`n`$ but for a certain range from $`n_{\text{min}}`$ to $`n_{\text{max}}`$. In addition, at small scale, R/S analysis gives $`\alpha _{\text{loc}}>\alpha `$ if $`\alpha <0.7`$ and $`\alpha _{\text{loc}}<\alpha `$ if $`\alpha >0.7`$, which has been pointed out by Mandelbrot while DFA gives $`\alpha _{\text{loc}}>\alpha `$ if $`\alpha <1.0`$ and $`\alpha _{\text{loc}}<\alpha `$ if $`\alpha >1.0`$.

It is clear that the smaller the $`n_{\text{min}}`$ and the larger the $`n_{\text{max}}`$, the better the method. We also perceive that the expected horizontal behavior stops because the fluctuations become larger due to the under-sampling of $`F(n)`$ or $`R/S`$ when $`n`$ gets closer to the length of the signal $`N_{\text{max}}`$. Furthermore, it can be seen from Fig.15 that $`n_{\text{max}}\frac{1}{10}N_{\text{max}}`$ independent of $`\alpha `$ (if the best fit region exists), which is why one tenth of the signal length is the maximum box size when using DFA or R/S analysis.

On the contrary, $`n_{\text{min}}`$ does not depend on the $`N_{\text{max}}`$ since $`\alpha _{\text{loc}}(n)`$ at small $`n`$ hardly changes as $`N_{\text{max}}`$ varies but it does depend on $`\alpha `$. Thus, we obtain $`n_{\text{min}}`$ quantitatively as shown in Fig.16. For R/S analysis, only for $`\alpha 0.7`$, $`n_{\text{min}}`$ is small; for $`\alpha `$ a little away from $`0.7`$ (for example, 0.5), $`n_{\text{min}}`$ becomes very large and close to $`n_{\text{max}}`$, indicating that the best fit region will vanish and R/S analysis does not work at all. Comparing to R/S, DFA works better since $`n_{\text{min}}`$ is quite small for $`\alpha >0.5`$ correlated signals.

One problem remains for DFA, $`n_{\text{min}}`$ for small $`\alpha `$ ($`0.5`$) is still too large comparing to those for large $`\alpha `$($`>0.5`$). We can improve it by applying DFA on the integration of the noise with $`\alpha <0.5`$. The resultant new expected $`\alpha ^{^{}}`$ for the integrated signal would be $`\alpha _0^{^{}}=\alpha +1`$, while the $`n_{\text{min}}`$ for the integrated signal becomes much smaller as shown also in Fig.16(shading area $`\alpha >1`$). Therefore, for a noise with $`\alpha <0.5`$, it is best to estimate the scaling exponent $`\alpha ^{^{}}`$ of the integrated signal first and then obtain $`\alpha `$ by $`\alpha =\alpha ^{^{}}1`$. This is what we did in the following sections to those anticorrelated signals.

## B Superposition law for DFA

For two uncorrelated signals $`f(i)`$ and $`g(i)`$, their root mean square fluctuation functions are $`F_f(n)`$ and $`F_g(n)`$ respectively. We want to prove that for the signal $`f(i)+g(i)`$, its rms fluctuation

$$F_{f+g}(n)=\sqrt{F_f(n)^2+F_g(n)^2}$$
(B1)
Consider three signals in the same box first. The integrated signals for $`f`$, $`g`$ and $`f+g`$ are $`y_f(i)`$, $`y_g(i)`$ and $`y_{f+g}(i)`$ and their corresponding trends are $`y_f^{fit}`$, $`y_g^{fit}`$,$`y_{f+g}^{fit}`$ ($`i=1,2,\mathrm{},n`$, $`n`$ is the box size). Since $`y_{f+g}(i)=y_f(i)+y_g(i)`$ and combine the definition of detrended fluctuation function Eq.3, we have that for all boxes

$$Y_{f+g}(i)=Y_f(i)+Y_g(i),$$
(B2)
where $`Y_{f+g}`$ is the detrended fluctuation function for the signal $`f+g`$, $`Y_f(i)`$ is for the signal $`f`$ and $`Y_g(i)`$ for $`g`$. Furthermore, according to the definition of rms fluctuation, we can obtain

$`F_{f+g}(n)`$ $`=\sqrt{{\displaystyle \frac{1}{N_{max}}}{\displaystyle \underset{i=1}{\overset{N_{max}}{}}}\left[Y_{f+g}(i)\right]^2}`$ (B4)
$`=\sqrt{{\displaystyle \frac{1}{N_{max}}}{\displaystyle \underset{i=1}{\overset{N_{max}}{}}}\left[Y_f(i)+Y_g(i)\right]^2},`$
where $`\mathrm{}`$ is the number of boxes and $`k`$ means the $`k`$th box. If $`f`$ and $`g`$ are not correlated, neither are $`Y_f(i)`$ and $`Y_g(i)`$ and, thus,

$$\underset{i=1}{\overset{N_{max}}{}}Y_f(i)Y_g(i)=0.$$
(B5)
From Eq.B5 and Eq.B4, we have

$`F_{f+g}(n)`$ $`=\sqrt{{\displaystyle \frac{1}{N_{max}}}{\displaystyle \underset{i=1}{\overset{N_{max}}{}}}\left[Y_f(i)^2+Y_g(i)^2\right]}`$ (B7)
$`=\sqrt{\left[F_f(n)\right]^2+\left[F_g(n)\right]^2}.`$
## C DFA-1 on linear trend

Let us suppose a linear time series $`u(i)=A_\mathrm{L}i`$. The integrated signal $`y_L(i)`$ is

$$y_L(i)=\underset{j=1}{\overset{i}{}}A_\mathrm{L}j=A_\mathrm{L}\frac{i^2+i}{2}$$
(C1)
Let as call $`N_{max}`$ the size of the series and $`n`$ the size of the box. The rms fluctuation $`F_\mathrm{L}(n)`$ as a function of $`n`$ and $`N_{max}`$ is

$$F_\mathrm{L}(n)=A_\mathrm{L}\sqrt{\frac{1}{N_{max}}\underset{k=1}{\overset{N_{max}/n}{}}\underset{i=(k1)n+1}{\overset{kn}{}}\left(\frac{i^2+i}{2}(a_k+b_ki)\right)^2}$$
(2)
where $`a_k`$ and $`b_k`$ are the parameters of a least-squares fit of the $`k`$-th box of size $`n`$. $`a_k`$ and $`b_k`$ can be determined analytically, thus giving:

$$a_k=1\frac{1}{12}n^2+\frac{1}{2}n^2k+\frac{1}{12}n\frac{1}{2}k^2n^2$$
(3)
$$b_k=1\frac{1}{2}n+kn+\frac{1}{2}$$
(4)
With these values, $`F_\mathrm{L}(n)`$ can be evaluated analytically:

$$F_\mathrm{L}(n)=A_\mathrm{L}\frac{1}{60}\sqrt{\left(5n^4+25n^3+25n^225n30\right)}$$
(5)
The dominating term inside the square root is $`5n^4`$ and then one obtains

$$F_\mathrm{L}(n)\frac{\sqrt{5}}{60}A_\mathrm{L}n^2$$
(6)
leading directly to an exponent of 2 in the DFA. An important consequence is that, as $`F(n)`$ does not depend on $`N_{max}`$, for linear trends with the same slope, the DFA must give exactly the same results for series of different sizes. This is not true for other trends, where the exponent is 2, but the factor multiplying $`n^2`$ can depend on $`N_{max}`$.

## D DFA-1 on Quadratic trend

Let us suppose now a series of the type $`u(i)=A_\mathrm{Q}i^2`$. The integrated time series $`y(i)`$ is

$$y(i)=A_\mathrm{Q}\underset{j=1}{\overset{i}{}}j^2=A_\mathrm{Q}\frac{2i^3+3i^2+i}{6}$$
(1)
As before, let us call $`N_{max}`$ and $`n`$ the sizes of the series and box, respectively. The rms fluctuation function $`F_\mathrm{Q}(n)`$ measuring the rms fluctuation is now defined as

$$F_\mathrm{Q}(n)=A_\mathrm{Q}\sqrt{\frac{1}{N_{max}}\underset{k=1}{\overset{N_{max}/n}{}}\underset{i=(k1)n+1}{\overset{kn}{}}\left(\frac{2i^3+3i^2+i}{6}(a_k+b_ki)\right)^2}$$
(2)
where $`a_k`$ and $`b_k`$ are the parameters of a least-squares fit of the $`k`$-th box of size $`n`$. As before, $`a_k`$ and $`b_k`$ can be determined analytically, thus giving:

$$a_k=\frac{1}{15}n^3+n^3k^2\frac{7}{15}n^3k+\frac{17}{30}n^2k\frac{7}{60}n^2+\frac{1}{20}n\frac{2}{3}k^3n^3\frac{1}{2}n^2k^2+\frac{1}{15}kn$$
(3)
$$b_k=\frac{3}{10}n^2+n^2k^2n^2k+kn\frac{2}{5}n+\frac{1}{10}$$
(4)
Once $`a_k`$ and $`b_k`$ are known, $`F(n)`$ can be evaluated, giving:

$$F_\mathrm{Q}(n)=A_\mathrm{Q}\frac{1}{1260}\sqrt{21\left(n^4+5n^3+5n^25n6\right)\left(32n^26n81210N_{max}140N_{max}^2\right)}$$
(5)
As $`N_{max}>n`$, the dominant term inside the square root is given by $`140N_{max}^2\times 21n^4=A_\mathrm{Q}2940n^4N_{max}^2`$, and then one has approximately

$$F_\mathrm{Q}(n)A_\mathrm{Q}\frac{1}{1260}\sqrt{2940n^4N_{max}^2}=A_\mathrm{Q}\frac{1}{90}\sqrt{15}N_{max}n^2$$
(6)
leading directly to an exponent 2 in the DFA analysis. An interesting consequence derived from Eq. (6) is that, $`F_\mathrm{Q}(n)`$ depends on the length of signal $`N_{max}`$, and the DFA line ($`\mathrm{log}F_\mathrm{Q}(n)`$ versus $`\mathrm{log}n`$) for quadratic series $`u(i)=A_\mathrm{Q}i^2`$ of different $`N_{max}`$ DO NOT overlap (as it happened for linear trends).