Detrended Cross-Correlation Analysis: A New Method<? format?> for Analyzing Two Nonstationary Time Series
B Podobnik, HE Stanley - Physical review letters, 2008 - APS
Physical review letters, 2008•APS
Here we propose a new method, detrended cross-correlation analysis, which is a
generalization of detrended fluctuation analysis and is based on detrended covariance. This
method is designed to investigate power-law cross correlations between different
simultaneously recorded time series in the presence of nonstationarity. We illustrate the
method by selected examples from physics, physiology, and finance.
generalization of detrended fluctuation analysis and is based on detrended covariance. This
method is designed to investigate power-law cross correlations between different
simultaneously recorded time series in the presence of nonstationarity. We illustrate the
method by selected examples from physics, physiology, and finance.
Here we propose a new method, detrended cross-correlation analysis, which is a generalization of detrended fluctuation analysis and is based on detrended covariance. This method is designed to investigate power-law cross correlations between different simultaneously recorded time series in the presence of nonstationarity. We illustrate the method by selected examples from physics, physiology, and finance.
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