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Measuring correlations between non-stationary series with DCCA coefficient

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F14%3A00433533" target="_blank" >RIV/67985556:_____/14:00433533 - isvavai.cz</a>

  • Alternative codes found

    RIV/00216208:11230/14:10281484

  • Result on the web

    <a href="http://dx.doi.org/10.1016/j.physa.2014.01.058" target="_blank" >http://dx.doi.org/10.1016/j.physa.2014.01.058</a>

  • DOI - Digital Object Identifier

    <a href="http://dx.doi.org/10.1016/j.physa.2014.01.058" target="_blank" >10.1016/j.physa.2014.01.058</a>

Alternative languages

  • Result language

    angličtina

  • Original language name

    Measuring correlations between non-stationary series with DCCA coefficient

  • Original language description

    In this short report, we investigate the ability of the DCCA coefficient to measure correlation level between non-stationary series. Based on a wide Monte Carlo simulation study, we show that the DCCA coefficient can estimate the correlation coefficientaccurately regardless the strength of non-stationarity (measured by the fractional differencing parameter d). For a comparison, we also report the results for the standard Pearson correlation coefficient. The DCCA coefficient dominates the Pearson coefficient for non- stationary series.

  • Czech name

  • Czech description

Classification

  • Type

    J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

  • CEP classification

    AH - Economics

  • OECD FORD branch

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

  • Volume of the periodical

    402

  • Issue of the periodical within the volume

    1

  • Country of publishing house

    NL - THE KINGDOM OF THE NETHERLANDS

  • Number of pages

    8

  • Pages from-to

    291-298

  • UT code for WoS article

    000333788400028

  • EID of the result in the Scopus database