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Multifractal detrended cross-correlation analysis for two nonstationary signals


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  • Wei-Xing Zhou


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    It is ubiquitous in natural and social sciences that two variables, recorded temporally or spatially in a complex system, are cross-correlated and possess multifractal features. We propose a new method called multifractal detrended cross-correlation analysis (MF-DXA) to investigate the multifractal behaviors in the power-law cross-correlations between two records in one or higher dimensions. The method is validated with cross-correlated 1D and 2D binomial measures and multifractal random walks. Application to two financial time series is also illustrated.

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    Paper provided by in its series Papers with number 0803.2773.

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    Date of creation: Mar 2008
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    Publication status: Published in Physical Review E 77 (6), 066211 (2008).
    Handle: RePEc:arx:papers:0803.2773

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