Finite sample properties of power-law cross-correlations estimators

Ladislav Krištoufek ()

Physica A: Statistical Mechanics and its Applications, 2015, vol. 419, issue C, 513-525

Abstract: We study finite sample properties of estimators of power-law cross-correlations–detrended cross-correlation analysis (DCCA), height cross-correlation analysis (HXA) and detrending moving-average cross-correlation analysis (DMCA)–with a special focus on short-term memory bias as well as power-law coherency. We present a broad Monte Carlo simulation study that focuses on different time series lengths, specific methods’ parameter setting, and memory strength. We find that each method is best suited for different time series dynamics so that there is no clear winner between the three. The method selection should be then made based on observed dynamic properties of the analyzed series.

Keywords: Power-law cross-correlations; Long-term memory; Econophysics (search for similar items in EconPapers)
Date: 2015
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Working Paper: Finite sample properties of power-law cross-correlations estimators (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:419:y:2015:i:c:p:513-525

DOI: 10.1016/j.physa.2014.10.068

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