Detrended multiple cross-correlation coefficient with sliding windows approach

DOI10.1016/J.PHYSA.2021.125990MaRDI QIDQ128081zbMATH OpenOpenAlexFDO

Authors Everaldo Freitas Guedes, A.M. Da Silva Filho, G.F. Zebende, E. F. Guedes, A. M. da Silva Filho, G. F. Zebende

Publication date July 2021

Published in Physica A: Statistical Mechanics and its Applications, Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physa.2021.125990

zbMATH Keywords

\(DMC_{\mathrm{x}}^2\) coefficientmultiple cross-correlationsliding windowstimes series

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites work

• Approximate entropy as a measure of system complexity.
• Long‐Memory Time Series
• Multifractal detrended fluctuation analysis of nonstationary time series
• Multiscale multifractal diffusion entropy analysis of financial time series
• Statistical test for multiple detrended cross-correlation coefficient
• Time series analysis and its applications. With R examples
• Time series analysis. Univariate and multivariate methods.

Cited in

(1)

• SlidingWindows

Describes a project that uses

Uses Software

• astsa
• fracdiff

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