Detrended Multiple Cross-Correlation Coefficient

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

Physica A: Statistical Mechanics and its Applications, 2018, vol. 510, issue C, 91-97

Abstract: Based on the detrended cross-correlation coefficient, ρxa,xb, we propose in this paper to establish a Detrended Multiple Cross-Correlation coefficient, DMCx2, to be applied in order to quantify the relations between non-stationary signals on different time scales. This Detrended Multiple Cross-Correlation coefficient will be the measure of the total association between the dependent variable, y, with the others i independent variables, x. It will be the generalization of ρxa,xb, for more than two independent variables. To validate DMCx2, we set up a cross-correlation table (ranging from 0 to 1), and we determined the Detrended Multiple Cross-Correlation coefficient into simulated and real time series. The results of this analysis show that the Detrended Multiple Cross-Correlation coefficient may be suitable and useful to measure multiple cross-correlations, as we will see in this paper.

Keywords: Time series analysis; Statistical physics; Multiple cross-correlation; DCCA method; DFA method (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (18)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:510:y:2018:i:c:p:91-97

DOI: 10.1016/j.physa.2018.06.119

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