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Multifractal detrended cross-correlation analysis between PM2.5 and meteorological factors

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  • Zhang, Chen
  • Ni, Zhiwei
  • Ni, Liping

Abstract

PM2.5 pollution has become one of the most serious air pollution in China. The cross-correlations between PM2.5 concentration and meteorological factors (i.e., temperature, air pressure, relative humidity and wind speed) in Beijing and Hong Kong are discussed in this paper. We use the multifractal detrended cross-correlation analysis (MF-DCCA) to analyze the cross-correlations, and study further the asymmetric characteristics of cross-correlations by multifractal asymmetric detrended cross-correlation analysis (MF-ADCCA). The experimental results show that the cross-correlations between PM2.5 concentration and four meteorological factors are multifractal and anti-persistent, and the strength of multifractality of Beijing is stronger than that of Hong Kong. Meanwhile, the cross-correlations between PM2.5 concentration and meteorological factors are asymmetric, and the asymmetric cross-correlations are multifractal.

Suggested Citation

  • Zhang, Chen & Ni, Zhiwei & Ni, Liping, 2015. "Multifractal detrended cross-correlation analysis between PM2.5 and meteorological factors," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 438(C), pages 114-123.
  • Handle: RePEc:eee:phsmap:v:438:y:2015:i:c:p:114-123
    DOI: 10.1016/j.physa.2015.06.039
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    Cited by:

    1. Ruan, Qingsong & Zhang, Manqian & Lv, Dayong & Yang, Haiquan, 2018. "SAD and stock returns revisited: Nonlinear analysis based on MF-DCCA and Granger test," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 1009-1022.
    2. Manimaran, P. & Narayana, A.C., 2018. "Multifractal detrended cross-correlation analysis on air pollutants of University of Hyderabad Campus, India," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 502(C), pages 228-235.
    3. Jiang, Jiaqi & Gu, Rongbao, 2016. "Asymmetrical long-run dependence between oil price and US dollar exchange rate—Based on structural oil shocks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 456(C), pages 75-89.
    4. Xu, Weijia & Liu, Chunqiong & Shi, Kai & Liu, Yonghong, 2018. "Multifractal detrended cross-correlation analysis on NO, NO2 and O3 concentrations at traffic sites," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 502(C), pages 605-612.
    5. Zhao, Zhen-yu & Zhu, Jiang & Xia, Bo, 2016. "Multi-fractal fluctuation features of thermal power coal price in China," Energy, Elsevier, vol. 117(P1), pages 10-18.
    6. Ruan, Qingsong & Yang, Haiquan & Lv, Dayong & Zhang, Shuhua, 2018. "Cross-correlations between individual investor sentiment and Chinese stock market return: New perspective based on MF-DCCA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 243-256.
    7. Wang, Qizhen, 2019. "Multifractal characterization of air polluted time series in China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 514(C), pages 167-180.
    8. Cao, Guangxi & Zhang, Minjia & Li, Qingchen, 2017. "Volatility-constrained multifractal detrended cross-correlation analysis: Cross-correlation among Mainland China, US, and Hong Kong stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 472(C), pages 67-76.

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