On the behavior of the DFA and DCCA in trend-stationary processes
DOI10.48550/arXiv.1910.10589zbMath1462.62361arXiv1910.10589OpenAlexW3103439243MaRDI QIDQ141549
Guilherme Pumi, Taiane Schaedler Prass, Taiane Schaedler Prass, Guilherme Pumi
Publication date: 23 October 2019
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1910.10589
DCCAcross-correlationdetrended cross-correlation analysis (DCCA)detrended fluctuation analysis (DFA)trend-stationary time series
Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of association (correlation, canonical correlation, etc.) (62H20) Stationary stochastic processes (60G10) Monte Carlo methods (65C05) Economic time series analysis (91B84)
Related Items (1)
Cites Work
- Modeling traffic flow correlation using DFA and DCCA
- On convergence properties of sums of dependent random variables under second moment and covariance restrictions
- Asymptotic Properties of the Detrended Fluctuation Analysis of Long-Range-Dependent Processes
- Detecting long-range correlations with detrended fluctuation analysis
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