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Detrended Multiple Cross-Correlation Coefficient

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  • Zebende, G.F.
  • da Silva Filho, A.M.

Abstract

Based on the detrended cross-correlation coefficient, ρxa,xb, we propose in this paper to establish a Detrended Multiple Cross-Correlation coefficient, DMCx2, to be applied in order to quantify the relations between non-stationary signals on different time scales. This Detrended Multiple Cross-Correlation coefficient will be the measure of the total association between the dependent variable, y, with the others i independent variables, x. It will be the generalization of ρxa,xb, for more than two independent variables. To validate DMCx2, we set up a cross-correlation table (ranging from 0 to 1), and we determined the Detrended Multiple Cross-Correlation coefficient into simulated and real time series. The results of this analysis show that the Detrended Multiple Cross-Correlation coefficient may be suitable and useful to measure multiple cross-correlations, as we will see in this paper.

Suggested Citation

  • 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.
    • Handle: RePEc:eee:phsmap:v:510:y:2018:i:c:p:91-97
    DOI: 10.1016/j.physa.2018.06.119
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    References listed on IDEAS

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    2. Bashir, Usman & Yu, Yugang & Hussain, Muntazir & Zebende, Gilney F., 2016. "Do foreign exchange and equity markets co-move in Latin American region? Detrended cross-correlation approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 889-897.
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