Detrending moving-average cross-correlation coefficient: Measuring cross-correlations between non-stationary series

Ladislav Krištoufek ()

Physica A: Statistical Mechanics and its Applications, 2014, vol. 406, issue C, 169-175

Abstract: In the paper, we introduce a new measure of correlation between possibly non-stationary series. As the measure is based on the detrending moving-average cross-correlation analysis (DMCA), we label it as the DMCA coefficient ρDMCA(λ) with a moving average window length λ. We analytically show that the coefficient ranges between −1 and 1 as a standard correlation does. In the simulation study, we show that the values of ρDMCA(λ) very well correspond to the true correlation between the analyzed series regardless the (non-)stationarity level. Dependence of the newly proposed measure on other parameters–correlation level, moving average window length and time series length–is discussed as well.

Keywords: Correlations; Econophysics; Non-stationarity (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (9)

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Related works:
Working Paper: Detrending moving-average cross-correlation coefficient: Measuring cross-correlations between non-stationary series (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:406:y:2014:i:c:p:169-175

DOI: 10.1016/j.physa.2014.03.015

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