IDEAS home Printed from https://ideas.repec.org/a/eee/phsmap/v513y2019icp222-233.html
   My bibliography  Save this article

Local detrended cross-correlation analysis for non-stationary time series

Author

Listed:
  • Zhai, Lu-Sheng
  • Liu, Ruo-Yu

Abstract

We propose a method called local detrended cross-correlation analysis (LDCCA) to quantify temporal power-law cross-correlation characteristics of coupled time series at local samples. The proposed method is validated with uncoupled Gaussian white noises, coupled ARFIMA processes and Hénon maps. As an example, electrical probe technologies are employed to detect the flow structure information of gas–liquid churn flows in a vertical pipe, and temporal cross-correlation characteristics of flow interfacial structures are investigated using the proposed LDCCA. The results show that the proposed LDCCA can provide beneficial insights to local dynamic evolution behaviors of the flow interfacial structures.

Suggested Citation

  • Zhai, Lu-Sheng & Liu, Ruo-Yu, 2019. "Local detrended cross-correlation analysis for non-stationary time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 513(C), pages 222-233.
    • Handle: RePEc:eee:phsmap:v:513:y:2019:i:c:p:222-233
    DOI: 10.1016/j.physa.2018.09.006
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0378437118311300
    Download Restriction: 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
    File URL: https://libkey.io/10.1016/j.physa.2018.09.006?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Ladislav Kristoufek, 2018. "Power-law cross-correlations: Issues, solutions and future challenges," Papers 1806.01616, arXiv.org.
    2. He, Ling-Yun & Chen, Shu-Peng, 2011. "A new approach to quantify power-law cross-correlation and its application to commodity markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(21), pages 3806-3814.
    3. da Silva, Marcus Fernandes & Leão Pereira, Éder Johnson de Area & da Silva Filho, Aloisio Machado & Nunes de Castro, Arleys Pereira & Miranda, José Garcia Vivas & Zebende, Gilney Figueira, 2015. "Quantifying cross-correlation between Ibovespa and Brazilian blue-chips: The DCCA approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 424(C), pages 124-129.
    4. Zhi-Qiang Jiang & Wei-Xing Zhou, 2011. "Multifractal detrending moving average cross-correlation analysis," Papers 1103.2577, arXiv.org, revised Mar 2011.
    5. Li, Jianfeng & Lu, Xinsheng & Zhou, Ying, 2016. "Cross-correlations between crude oil and exchange markets for selected oil rich economies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 453(C), pages 131-143.
    6. Zhi-Qiang Jiang & Wen-Jie Xie & Wei-Xing Zhou & Didier Sornette, 2018. "Multifractal analysis of financial markets," Papers 1805.04750, arXiv.org.
    7. B. Podobnik & I. Grosse & D. Horvatić & S. Ilic & P. Ch. Ivanov & H. E. Stanley, 2009. "Quantifying cross-correlations using local and global detrending approaches," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 71(2), pages 243-250, September.
    8. repec:arx:papers:1501.02947 is not listed on IDEAS
    9. Gvozdanovic, Igor & Podobnik, Boris & Wang, Duan & Eugene Stanley, H., 2012. "1/f behavior in cross-correlations between absolute returns in a US market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(9), pages 2860-2866.
    10. Zhao, Xiaojun & Shang, Pengjian & Lin, Aijing & Chen, Gang, 2011. "Multifractal Fourier detrended cross-correlation analysis of traffic signals," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(21), pages 3670-3678.
    11. Wei-Xing Zhou, 2008. "Multifractal detrended cross-correlation analysis for two nonstationary signals," Papers 0803.2773, arXiv.org.
    12. Yuan, Naiming & Fu, Zuntao, 2014. "Different spatial cross-correlation patterns of temperature records over China: A DCCA study on different time scales," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 400(C), pages 71-79.
    13. Zebende, G.F. & da Silva, M.F. & Machado Filho, A., 2013. "DCCA cross-correlation coefficient differentiation: Theoretical and practical approaches," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(8), pages 1756-1761.
    14. Zebende, G.F., 2011. "DCCA cross-correlation coefficient: Quantifying level of cross-correlation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(4), pages 614-618.
    15. Shayeganfar, F., 2012. "Levels of complexity in turbulent time series for weakly and high Reynolds number," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(11), pages 3151-3158.
    16. Ma, Xiaofei & Huang, Xiaolin & Du, Sidan & Liu, Hongxing & Ning, Xinbao, 2018. "Symbolic joint entropy reveals the coupling of various brain regions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 1087-1095.
    17. Vassoler, R.T. & Zebende, G.F., 2012. "DCCA cross-correlation coefficient apply in time series of air temperature and air relative humidity," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(7), pages 2438-2443.
    18. Xi-Yuan Qian & Ya-Min Liu & Zhi-Qiang Jiang & Boris Podobnik & Wei-Xing Zhou & H. Eugene Stanley, 2015. "Detrended partial cross-correlation analysis of two nonstationary time series influenced by common external forces," Papers 1504.02435, arXiv.org, revised Apr 2015.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Shen, Chenhua, 2017. "A comparison of principal components using TPCA and nonstationary principal component analysis on daily air-pollutant concentration series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 467(C), pages 453-464.
    2. da Silva, Marcus Fernandes & de Area Leão Pereira, Éder Johnson & da Silva Filho, Aloisio Machado & de Castro, Arleys Pereira Nunes & Miranda, José Garcia Vivas & Zebende, Gilney Figueira, 2016. "Quantifying the contagion effect of the 2008 financial crisis between the G7 countries (by GDP nominal)," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 453(C), pages 1-8.
    3. Sukpitak, Jessada & Hengpunya, Varagorn, 2016. "The influence of trading volume on market efficiency: The DCCA approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 458(C), pages 259-265.
    4. Yuan, Naiming & Fu, Zuntao, 2014. "Different spatial cross-correlation patterns of temperature records over China: A DCCA study on different time scales," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 400(C), pages 71-79.
    5. Cao, Guangxi & Xu, Longbing & Cao, Jie, 2012. "Multifractal detrended cross-correlations between the Chinese exchange market and stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(20), pages 4855-4866.
    6. Dong, Keqiang & Zhang, Hong & Gao, You, 2017. "Dynamical mechanism in aero-engine gas path system using minimum spanning tree and detrended cross-correlation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 465(C), pages 363-369.
    7. Cai, Yuxin & Lu, Xinsheng & Ren, Yongping & Qu, Ling, 2019. "Exploring the dynamic relationship between crude oil price and implied volatility indices: A MF-DCCA approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 536(C).
    8. Kristoufek, Ladislav, 2015. "Finite sample properties of power-law cross-correlations estimators," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 513-525.
    9. Kristoufek, Ladislav, 2014. "Measuring correlations between non-stationary series with DCCA coefficient," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 402(C), pages 291-298.
    10. Qin, Jing & Ge, Jintian & Lu, Xinsheng, 2018. "The effectiveness of the monetary policy in China: New evidence from long-range cross-correlation analysis and the components of multifractality," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 506(C), pages 1026-1037.
    11. Zebende, G.F. & da Silva Filho, A.M., 2018. "Detrended Multiple Cross-Correlation Coefficient," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 510(C), pages 91-97.
    12. 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.
    13. Dutta, Srimonti & Ghosh, Dipak & Samanta, Shukla, 2014. "Multifractal detrended cross-correlation analysis of gold price and SENSEX," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 413(C), pages 195-204.
    14. Li, Shuping & Li, Jianfeng & Lu, Xinsheng & Sun, Yihong, 2022. "Exploring the dynamic nonlinear relationship between crude oil price and implied volatility indices: A new perspective from MMV-MFDFA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 603(C).
    15. repec:arx:papers:1501.02947 is not listed on IDEAS
    16. Fernández-Martínez, M. & Sánchez-Granero, M.A. & Casado Belmonte, M.P. & Trinidad Segovia, J.E., 2020. "A note on power-law cross-correlated processes," Chaos, Solitons & Fractals, Elsevier, vol. 138(C).
    17. Lu, Xinsheng & Sun, Xinxin & Ge, Jintian, 2017. "Dynamic relationship between Japanese Yen exchange rates and market anxiety: A new perspective based on MF-DCCA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 474(C), pages 144-161.
    18. Zhang, Wei & Wang, Pengfei & Li, Xiao & Shen, Dehua, 2018. "The inefficiency of cryptocurrency and its cross-correlation with Dow Jones Industrial Average," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 510(C), pages 658-670.
    19. Shen, Chenhua, 2019. "The influence of a scaling exponent on ρDCCA: A spatial cross-correlation pattern of precipitation records over eastern China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 516(C), pages 579-590.
    20. Ruan, Qingsong & Bao, Junjie & Zhang, Manqian & Fan, Limin, 2019. "The effects of exchange rate regime reform on RMB markets: A new perspective based on MF-DCCA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 522(C), pages 122-134.
    21. Zhuang, Xiaoyang & Wei, Yu & Ma, Feng, 2015. "Multifractality, efficiency analysis of Chinese stock market and its cross-correlation with WTI crude oil price," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 430(C), pages 101-113.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:phsmap:v:513:y:2019:i:c:p:222-233. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.