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Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Non-stationary Time Series

Here we propose a method, based on detrended covariance which we call detrended cross-correlation analysis (DXA), to investigate power-law cross-correlations between different simultaneously-recorded time series in the presence of non-stationarity. We illustrate the method by selected examples from physics, physiology, and finance.
Year of publication:
2007-09
Authors: Podobnik, Boris ; Stanley, H. Eugene
Institutions: arXiv.org
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Source:
Persistent link: https://www.econbiz.de/10005105839
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