Statistical properties of the detrended multiple cross-correlation coefficient

DOI10.1016/j.cnsns.2021.105781zbMath1466.62345OpenAlexW3131715200MaRDI QIDQ2025515

Fang Wang, Jian Xu, Qing-Ju Fan

Publication date: 14 May 2021

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cnsns.2021.105781

zbMATH Keywords

correlation matrixstatistical testdetrended cross-correlation analysismultiple cross-correlation coefficient

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of association (correlation, canonical correlation, etc.) (62H20)

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Cites Work

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• Multifractal detrended fluctuation analysis of nonstationary time series
• Forecasting traffic time series with multivariate predicting method
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• Coupling correlation detrended analysis for multiple nonstationary series
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• Multifractal temporally weighted detrended cross-correlation analysis of multivariate time series

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