Item:Q6032775: Difference between revisions

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-On the behavior of the DFA and DCCA in trend-stationary processes
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-scientific article; zbMATH DE number 7301924
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-scholarly article
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-On the behavior of the DFA and DCCA in trend-stationary processes (English)
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-.62361
@@ Property / zbMATH Open document ID: 1462.62361 / rank @@
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-.1016/j.jmva.2020.104703
@@ Property / DOI: 10.1016/j.jmva.2020.104703 / rank @@
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-Taiane Schaedler Prass
@@ Property / author: Taiane Schaedler Prass / rank @@
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-Guilherme Pumi
@@ Property / author: Guilherme Pumi / rank @@
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-Journal of Multivariate Analysis
@@ Property / published in: Journal of Multivariate Analysis / rank @@
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-January 2021Timestamp +2021-01-26T00:00:00Z
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@@ Property / publication date: 26 January 2021 / rank @@
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@@ Property / full work available at URL @@
-https://arxiv.org/abs/1910.10589
@@ Property / full work available at URL: https://arxiv.org/abs/1910.10589 / rank @@
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-This paper is a study on the econometric time series. The authors show the asymptotic theory of the detrended fluctuation analysis (DFA) and detrended cross-correlation analysis (DCCA) for trend-stationary stochastic processes without any assumption on the specific form of the underlying distribution. They define the cross-correlation coefficient for a block matrix. They develop stationarity results and the theoretical counterpart of DCCA cross-correlation. They also develop closed forms for moments up to second order, including the covariance structure for DFA and DCCA and a miscellany of law of large results. They then illustrate with a Monte Carlo simulation study and an empirical application to econometric time series.
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-Glauber Márcio Silveira Pereira
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@@ Property / Mathematics Subject Classification ID @@
-H20
@@ Property / Mathematics Subject Classification ID: 62H20 / rank @@
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-H12
@@ Property / Mathematics Subject Classification ID: 62H12 / rank @@
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-M10
@@ Property / Mathematics Subject Classification ID: 62M10 / rank @@
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-F12
@@ Property / Mathematics Subject Classification ID: 62F12 / rank @@
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-G10
@@ Property / Mathematics Subject Classification ID: 60G10 / rank @@
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-C05
@@ Property / Mathematics Subject Classification ID: 65C05 / rank @@
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-B84
@@ Property / Mathematics Subject Classification ID: 91B84 / rank @@
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-P20
@@ Property / Mathematics Subject Classification ID: 62P20 / rank @@
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@@ Property / zbMATH DE Number @@
-7301924
@@ Property / zbMATH DE Number: 7301924 / rank @@
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@@ Property / zbMATH Keywords @@
-cross-correlation
@@ Property / zbMATH Keywords: cross-correlation / rank @@
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-DCCA
@@ Property / zbMATH Keywords: DCCA / rank @@
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@@ Property / zbMATH Keywords @@
-trend-stationary time series
@@ Property / zbMATH Keywords: trend-stationary time series / rank @@
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-detrended fluctuation analysis (DFA)
@@ Property / zbMATH Keywords: detrended fluctuation analysis (DFA) / rank @@
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-detrended cross-correlation analysis (DCCA)
@@ Property / zbMATH Keywords: detrended cross-correlation analysis (DCCA) / rank @@
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@@ Property / MaRDI profile type @@
-MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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Latest revision as of 10:04, 26 April 2024

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Item:Q141549