Measuring correlations between non-stationary series with DCCA coefficient

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>

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
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Czech description
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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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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

Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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