Measuring correlations between non-stationary series with DCCA coefficient
AbstractIn this short report, we investigate the ability of the DCCA coefficient to measure correlation level between non-stationary series. Based on a wide Monte Carlo simulation study, we show that the DCCA coefficient can estimate the correlation coefficient accurately regardless the strength of non-stationarity (measured by the fractional differencing parameter $d$). For a comparison, we also report the results for the standard Pearson's correlation coefficient. The DCCA coefficient dominates the Pearson's coefficient for non-stationary series.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1310.3984.
Date of creation: Oct 2013
Date of revision:
Publication status: Published in Physica A: Statistical Mechanics and Its Applications 402, pp. 291-298, 2014
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Web page: http://arxiv.org/
Other versions of this item:
- 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.
- NEP-ALL-2013-10-25 (All new papers)
- NEP-ECM-2013-10-25 (Econometrics)
- NEP-ETS-2013-10-25 (Econometric Time Series)
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