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

DOI10.1016/J.PHYSLETA.2014.12.036MaRDI QIDQ736410zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 994415 (Why is no real title available?)
• The effects of time delay on stochastic resonance in a bistable system with correlated noises

Cited in

(10)

• Backcasting and forecasting time series using detrended cross-correlation analysis
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• Statistical properties of the detrended multiple cross-correlation coefficient
• Jensen-detrended cross-correlation function for non-stationary time series with application to Latin American stock markets
• Trend locally stationary wavelet processes
• Principal component analysis for non-stationary time series based on detrended cross-correlation analysis
• Mobility and the spatial spread of \textsc{Sars}-\textsc{CoV}-2 in Belgium

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