Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Non-stationary Time Series

Boris Podobnik and H. Eugene Stanley

Papers from arXiv.org

Abstract: Here we propose a method, based on detrended covariance which we call detrended cross-correlation analysis (DXA), to investigate power-law cross-correlations between different simultaneously-recorded time series in the presence of non-stationarity. We illustrate the method by selected examples from physics, physiology, and finance.

Date: 2007-09
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:0709.0281

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