DCCA cross-correlation coefficient differentiation: Theoretical and practical approaches

被引：89

作者：

Zebende, G. F. ^{[1
,2
]}

da Silva, M. F. ^{[1
]}

Machado Filho, A. ^{[1
]}

机构：

[1] SENAI CIMATEC, Computat Modeling Program, BR-41650010 Salvador, BA, Brazil

[2] Univ Estadual Feira de Santana, Dept Phys, BR-44036900 Feira de Santana, BA, Brazil

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2013年 / 392卷 / 08期

关键词：

DFA method; DCCA method; DCCA cross-correlation coefficient; LONG-RANGE CORRELATIONS; TIME-SERIES; MARKET;

D O I：

10.1016/j.physa.2013.01.011

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

We propose in this paper to establish a well-defined relationship between alpha(DFA) (the long range auto-correlation exponent) and lambda(DCCA) (the long range cross-correlation exponent), respectively described by the DFA and DCCA methods. This relationship will be accomplished theoretically by differentiating the DCCA cross-correlation coefficient, rho(DCCA)(n). Also, for some specific times series, we apply this theory in order to establish its validity. (c) 2013 Elsevier B.V. All rights reserved.

引用

页码：1756 / 1761

页数：6

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