DETRENDED MULTIPLE CROSS-CORRELATION COEFFICIENT BASED ON Ï DMCA

E. F. Guedes, R. M. T. S. Dias, A. M. Da Silva Filho and G. F. Zebende
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E. F. Guedes: Brazilian Hospital Services Company, Salvador, Bahia, Brazil†Fernandes Figueira Institute, Oswaldo Cruz Foundation, Rio de Janeiro, Brazil
R. M. T. S. Dias: ��Universidade Europeia, Lisboa, Portugal§Earth and Environmental Sciences Modeling Program, State University of Feira de Santana, Bahia, Brazil
A. M. Da Silva Filho: �Earth and Environmental Sciences Modeling Program, State University of Feira de Santana, Bahia, Brazil
G. F. Zebende: �Earth and Environmental Sciences Modeling Program, State University of Feira de Santana, Bahia, Brazil

FRACTALS (fractals), 2025, vol. 33, issue 05, 1-10

Abstract: In this paper, from the bi-variate cross-correlation coefficient of Ï DMCA we propose a generalization for the multivariate cross-correlation coefficient (DMCx2) used in analysis with non-stationary time series. We applied our generalization DMACx2 in simulated time series with short memory (ARMA process) and long memory (ARFIMA process) and in time series of the financial market. Our results converged with recent research related to DMCx2 coefficient. In this sense, we are offering one more proposal to measure the multivariate cross-correlation in time series with some level of non-stationarity and assess its statistical significance for different moving average windows length.

Keywords: Ï DMCA; Multiple Cross-Correlation; Statistical Tests; Times Series (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1142/S0218348X25500434

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