Higher-order multifractal detrended partial cross-correlation analysis for the correlation estimator

DOI10.1155/2020/7495058MaRDI QIDQ2196160zbMATH OpenOpenAlexFDO

Authors Keqiang Dong, Xiaojie Gao

Publication date 28 August 2020

Published in Complexity (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2020/7495058

Mathematics Subject Classification ID

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

Review text

Summary: In this paper, we develop a new method to measure the nonlinear interactions between nonstationary time series based on the detrended cross-correlation coefficient analysis. We describe how a nonlinear interaction may be obtained by eliminating the influence of other variables on two simultaneous time series. By applying two artificially generated signals, we show that the new method is working reliably for determining the cross-correlation behavior of two signals. We also illustrate the application of this method in finance and aeroengine systems. These analyses suggest that the proposed measure, derived from the detrended cross-correlation coefficient analysis, may be used to remove the influence of other variables on the cross-correlation between two simultaneous time series.

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Cites work

• Calculating the Singular Values and Pseudo-Inverse of a Matrix
• Characteristic vectors of bordered matrices with infinite dimensions
• Cross-correlations between volume change and price change
• Multifractal detrended cross-correlation analysis of temporal and spatial seismic data
• The Lempel-Ziv measure based pedigree map to detect and evaluate correlation between aero-engine gas path system variables

Cited in

(7)

• Multifractal correlation characteristic for radar detecting low-observable target in sea clutter
• Statistical properties of the detrended multiple cross-correlation coefficient
• Coupling correlation detrended analysis for multiple nonstationary series
• Multifractal cross-correlation analysis based on statistical moments
• Time-delay multiscale multifractal detrended partial cross-correlation analysis of high-frequency stock series
• A NOVEL CORRELATION FUNCTION FROM DETRENDED FLUCTUATION ANALYSIS
• Analysis of detrended time-lagged cross-correlation between two nonstationary time series

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