Detrended cross-correlation analysis: A new method for analyzing two nonstationary time series

被引：1177

作者：

Podobnik, Boris ^{[1
,2
]}

Stanley, H. Eugene ^{[3
,4
]}

机构：

[1] Univ Rijeka, Fac Civil Engn, Dept Phys, Rijeka, Croatia

[2] Zagreb Sch Econ & Management, Zagreb, Croatia

[3] Boston Univ, Ctr Polymer Studies, Boston, MA 02215 USA

[4] Boston Univ, Dept Phys, Boston, MA 02215 USA

来源：

PHYSICAL REVIEW LETTERS | 2008年 / 100卷 / 08期

关键词：

Correlation methods - Finance - Physics - Physiology;

D O I：

10.1103/PhysRevLett.100.084102

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

Here we propose a new method, detrended cross-correlation analysis, which is a generalization of detrended fluctuation analysis and is based on detrended covariance. This method is designed to investigate power-law cross correlations between different simultaneously recorded time series in the presence of nonstationarity. We illustrate the method by selected examples from physics, physiology, and finance.

引用

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