DCCA cross-correlation coefficient differentiation: Theoretical and practical approaches

G.F. Zebende, M.F. da Silva and A. Machado Filho

Physica A: Statistical Mechanics and its Applications, 2013, vol. 392, issue 8, 1756-1761

Abstract: We propose in this paper to establish a well-defined relationship between αDFA (the long range auto-correlation exponent) and λDCCA (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, ρDCCA(n). Also, for some specific times series, we apply this theory in order to establish its validity.

Keywords: DFA method; DCCA method; DCCA cross-correlation coefficient (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (52)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:392:y:2013:i:8:p:1756-1761

DOI: 10.1016/j.physa.2013.01.011

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