Analysis of detrended time-lagged cross-correlation between two nonstationary time series

DOI10.1016/J.PHYSLETA.2014.12.036zbMATH Open1342.62151OpenAlexW2053257862MaRDI QIDQ736410FDOQ736410

Authors: Chenhua Shen 

Publication date: 4 August 2016

Published in: Physics Letters. A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physleta.2014.12.036

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zbMATH Keywords

nonstationary time seriestime lagdetrended time-lagged cross-correlation analysistime-lagged DCCA cross-correlation coefficient

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• The effects of time delay on stochastic resonance in a bistable system with correlated noises

Cited In (10)

• Time-delay multiscale multifractal detrended partial cross-correlation analysis of high-frequency stock series
• Statistical properties of the detrended multiple cross-correlation coefficient
• Trend locally stationary wavelet processes
• Backcasting and forecasting time series using detrended cross-correlation analysis
• Coupling correlation detrended analysis for multiple nonstationary series
• A new methodology for local cross-correlation between two nonstationary time series
• Multiscale time-lagged correlation networks for detecting air pollution interaction
• Principal component analysis for non-stationary time series based on detrended cross-correlation analysis
• Jensen-detrended cross-correlation function for non-stationary time series with application to Latin American stock markets
• Mobility and the spatial spread of \textsc{Sars}-\textsc{CoV}-2 in Belgium

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