Statistical properties of the detrended multiple cross-correlation coefficient

DOI10.1016/J.CNSNS.2021.105781MaRDI QIDQ2025515zbMATH OpenOpenAlexFDO

Authors Fang Wang, Jian Xu, Qing-Ju Fan

Publication date 14 May 2021

Published in Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cnsns.2021.105781

zbMATH Keywords

correlation matrixdetrended cross-correlation analysismultiple cross-correlation coefficientstatistical test

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

• Coupling correlation detrended analysis for multiple nonstationary series
• Cross-correlations between volume change and price change
• Detrended fluctuation analysis of multivariate time series
• Forecasting traffic time series with multivariate predicting method
• Insight into the inverse and the determinant of correlation coefficient matrix
• Multifractal detrended fluctuation analysis of nonstationary time series
• Multifractal temporally weighted detrended cross-correlation analysis of multivariate time series

Cited in

(3)

• Multiscale time-lagged correlation networks for detecting air pollution interaction
• Statistical test for detrending-moving-average-based multivariate regression model
• Autoregressive random matrix theory based on the q-dependent detrended cross-correlation coefficient

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