Detrending moving-average cross-correlation coefficient: Measuring cross-correlations between non-stationary series
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F14%3A00433529" target="_blank" >RIV/67985556:_____/14:00433529 - isvavai.cz</a>
Alternative codes found
RIV/00216208:11230/14:10281481
Result on the web
<a href="http://dx.doi.org/10.1016/j.physa.2014.03.015" target="_blank" >http://dx.doi.org/10.1016/j.physa.2014.03.015</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.physa.2014.03.015" target="_blank" >10.1016/j.physa.2014.03.015</a>
Alternative languages
Result language
angličtina
Original language name
Detrending moving-average cross-correlation coefficient: Measuring cross-correlations between non-stationary series
Original language description
In the paper, we introduce a new measure of correlation between possibly non-stationary series. As the measure is based on the detrending moving-average cross-correlation analysis (DMCA), we label it as the DMCA coefficient ?DMCA(?) with a moving averagewindow length ?. We analytically show that the coefficient ranges between 1 and 1 as a standard correlation does. In the simulation study, we show that the values of ?DMCA(?) very well correspond to the true correlation between the analyzed series regardless the (non-)stationarity level. Dependence of the newly proposed measure on other parameters ? correlation level, moving average window length and time series length ? is discussed as well.
Czech name
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Czech description
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Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Physica. A : Statistical Mechanics and its Applications
ISSN
0378-4371
e-ISSN
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Volume of the periodical
406
Issue of the periodical within the volume
1
Country of publishing house
NL - THE KINGDOM OF THE NETHERLANDS
Number of pages
7
Pages from-to
169-175
UT code for WoS article
000337854500019
EID of the result in the Scopus database
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