On the behavior of the DFA and DCCA in trend-stationary processes

DOI10.48550/arXiv.1910.10589zbMath1462.62361arXiv1910.10589MaRDI QIDQ141549

Taiane Schaedler Prass, Guilherme Pumi, Guilherme Pumi, Taiane Schaedler Prass

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

zbMATH Keywords

DCCA; cross-correlation; detrended cross-correlation analysis (DCCA); detrended fluctuation analysis (DFA); trend-stationary time series

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62P20: Applications of statistics to economics

62H12: Estimation in multivariate analysis

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62H20: Measures of association (correlation, canonical correlation, etc.)

60G10: Stationary stochastic processes

65C05: Monte Carlo methods

91B84: Economic time series analysis

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