Detrended fluctuation analysis of multivariate time series

DOI10.1016/J.CNSNS.2016.04.035MaRDI QIDQ2004782zbMATH OpenOpenAlexFDO

Authors Hui Xiong, Pengjian Shang

Publication date 7 October 2020

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.2016.04.035

zbMATH Keywords

detrended fluctuation analysisfinancial time seriesmulti-scalemultivariate

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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Cites work

• Cross-correlations between volume change and price change
• Detrended fluctuation analysis of short datasets: An application to fetal cardiac data
• Dynamics from multivariate time series
• Multifractal detrended fluctuation analysis of nonstationary time series
• Weighted multifractal cross-correlation analysis based on Shannon entropy

Cited in

(15)

• Multifractal detrended fluctuation analysis of nonstationary time series
• Statistical properties of the detrended multiple cross-correlation coefficient
• Permutation transition entropy: measuring the dynamical complexity of financial time series
• The cross-correlation analysis of multi property of stock markets based on MM-DFA
• Detrended fluctuation analysis based on higher-order moments of financial time series
• Modified multifractal large deviation spectrum based on CID for financial market system
• Multivariate large deviations spectrum for the multiscale analysis of stock markets
• Nonuniversality of the horizontal visibility graph in inferring series periodicity
• Effects of missing data on characterization of complex dynamics from time series
• Coupling correlation detrended analysis for multiple nonstationary series
• Two-dimensional multifractal cross-correlation analysis
• Effect of filters on multivariate multifractal detrended fluctuation analysis
• Testing for effects of cross-correlations on joint multifractality
• Multifractal detrended fluctuation analysis approach to study period of crisis of YES bank
• Multifractal temporally weighted detrended cross-correlation analysis of multivariate time series

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