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DCCA cross-correlation coefficient differentiation: Theoretical and practical approaches

Author

Listed:
  • Zebende, G.F.
  • da Silva, M.F.
  • Machado Filho, A.

Abstract

We propose in this paper to establish a well-defined relationship between αDFA (the long range auto-correlation exponent) and λDCCA (the long range cross-correlation exponent), respectively described by the DFA and DCCA methods. This relationship will be accomplished theoretically by differentiating the DCCA cross-correlation coefficient, ρDCCA(n). Also, for some specific times series, we apply this theory in order to establish its validity.

Suggested Citation

  • 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.
    • Handle: RePEc:eee:phsmap:v:392:y:2013:i:8:p:1756-1761
    DOI: 10.1016/j.physa.2013.01.011
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