DCCA cross-correlation coefficient differentiation: Theoretical and practical approaches
DCCA cross-correlation coefficient differentiation: Theoretical and practical approaches
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DOI：
10.1016/j.physa.2013.01.011
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发表时间：
2013-04
影响因子：
3.3
通讯作者：
G. F. Zebende;M. F. D. Silva;A. Filho
中科院分区：
文献类型：
--
作者：
G. F. Zebende;M. F. D. Silva;A. Filho
本文提出了一种定义明确的αDFA（长程自相关指数）和λDCCA（长程互相关指数）之间的关系，分别用DFA和DCCA方法描述。这种关系在理论上可以通过对DCCA互相关系数ρDCCA（n）求微分来实现。同时，对于一些特定的时间序列，我们应用这一理论，以建立其有效性。
We propose in this paper to establish a well-defined relationship between αDFA(the long range auto-correlation exponent) and λDCCA(the long range cross-correlation exponent), respectively described by the DFA and DCCA methods. This relationship will be accomplished theoretically by differentiating the DCCA cross-correlation coefficient, ρDCCA(n). Also, for some specific times series, we apply this theory in order to establish its validity.