Multifractal temporally weighted detrended partial cross-correlation analysis of two non-stationary time series affected by common external factors

Bao-Gen Li, Dian-Yi Ling and Zu-Guo Yu

Physica A: Statistical Mechanics and its Applications, 2021, vol. 573, issue C

Abstract: When common factors strongly influence two cross-correlated time series recorded in complex natural and social systems, the results will be biased if we use multifractal detrended cross-correlation analysis (MF-DXA) without considering these common factors. In order to better study the time series of such cases, we extend the multifractal temporally weighted detrended cross-correlation analysis (MF-TWXDFA) proposed by our group (Wei et al., 2017) and propose multifractal temporally weighted detrended partial cross-correlation analysis (MF-TWDPCCA) to quantify intrinsic power-law cross-correlation of two non-stationary time series affected by common external factors in this paper. To test the performance of MF-TWDPCCA, we apply it and multifractal partial cross-correlation analysis (MF-DPXA) proposed by Qian et al. (2015) on simulated series. Numerical tests on artificially simulated series demonstrate that MF-TWDPCCA can more accurately detect the intrinsic cross-correlations for two simultaneously recorded series than MF-DPXA and MF-TWXDFA. To further show the utility of MF-TWDPCCA, we apply it on time series from stock markets and find that there exists significantly multifractal power-law cross-correlation between stock returns. In addition, a new partial cross-correlation coefficient is defined to quantify the level of intrinsic cross-correlation between two time series.

Keywords: Partial cross-correlation; Multifractal temporally weighted detrended partial cross-correlation analysis; Partial cross-correlation coefficient (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437121001928
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:573:y:2021:i:c:s0378437121001928

DOI: 10.1016/j.physa.2021.125920

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().