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Detecting and quantifying cross-correlations by analogous multifractal height cross-correlation analysis

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  • Wang, Fang
  • Yang, Zhaohui
  • Wang, Lin

Abstract

A new algorithm, analogous multifractal height cross-correlation analysis (AMF-HXA), is proposed in this paper. Our novel method takes into consideration of both the fluctuation information and the sign information in the corresponding cross-covariance function. Numerical tests on artificially simulated series and real world series are performed to demonstrate that our method can accurately detect long-range cross-correlations for two simultaneously recorded series. A new cross-correlation coefficient is also defined to quantify the levels of cross-correlation between two series.

Suggested Citation

  • Wang, Fang & Yang, Zhaohui & Wang, Lin, 2016. "Detecting and quantifying cross-correlations by analogous multifractal height cross-correlation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 954-962.
    • Handle: RePEc:eee:phsmap:v:444:y:2016:i:c:p:954-962
    DOI: 10.1016/j.physa.2015.10.096
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    References listed on IDEAS

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    Cited by:

    1. Li, Bao-Gen & Ling, Dian-Yi & Yu, Zu-Guo, 2021. "Multifractal temporally weighted detrended partial cross-correlation analysis of two non-stationary time series affected by common external factors," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 573(C).
    2. Wang, Fang & Wang, Lin & Chen, Yuming, 2022. "Multi-affine visible height correlation analysis for revealing rich structures of fractal time series," Chaos, Solitons & Fractals, Elsevier, vol. 157(C).
    3. Wang, Fang & Wang, Lin & Chen, Yuming, 2018. "Quantifying the range of cross-correlated fluctuations using a q–L dependent AHXA coefficient," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 494(C), pages 454-464.
    4. Zhang, Zehui & Wang, Fang & Shen, Luming & Xie, Qiang, 2022. "Multiscale time-lagged correlation networks for detecting air pollution interaction," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 602(C).

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