DCCA cross-correlation coefficient differentiation: Theoretical and practical approaches

Physica A: Statistical Mechanics and its Applications

Volumn 392, Issue 8, 2013, Pages 1756-1761

  Zebende, G F ^a,b   Da Silva, M F ^a   MacHado Filho, A ^a  

^a SENAI CIMATEC   (Brazil)

^b DEPARTAMENTO DE CIÊNCIAS BIOLÓGICAS   (Brazil)

Author keywords

DCCA cross correlation coefficient; DCCA method; DFA method

Indexed keywords

CROSS CORRELATIONS; DCCA CROSS-CORRELATION COEFFICIENTS; DCCA METHODS; DFA METHOD; TIMES SERIES;

PHYSICS;

EID: 84873735320     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2013.01.011     Document Type: Article

References (35)

1. Science 284 5411 1999 1 212
2. Science 325 5939 2009 357 504
3. Nature 410 6825 2001 242 284
4. B.B. Mandelbrot The Fractal Geometry of Nature 1982 W. H. Freeman and Company New York
5. http://www.physionet.org/physiobank/database/
6. http://www-psych.stanford.edu/~andreas/Time-Series/SantaFe.html
7. http://robjhyndman.com/TSDL/
8. C.-K. Peng, S.V. Buldyrev, A.L. Goldberger, S. Havlin, F. Sciortino, M. Simons, and H.E. Stanley Nature 356 1992 168
9. http://www.physionet.org/publications/#papers-with-data.
10. G.F. Zebende, P.M.C. de Oliveira, and T.J.P. Penna Phys. Rev. E 57 1998 3311
11. H.E. Hurst Trans. Amer. Soc. Civ. Eng. 116 1951 770
12. L.-Y. He, and W.-B. Qian Physica A 391 2012 3770
13. J. Feder Fractals 1988 Plenum Press New York
14. P. Bak How Nature Works: The Science of Self-Organized Criticality 1997 Oxford University Press Oxford
15. S.J. Devlin, R. Gnanadesikan, and J.R. Kettenring Biometrika 62 3 1975 531
16. C.-K. Peng, S.V. Buldyrev, S. Havlin, M. Simons, H.E. Stanley, and A.L. Goldberger Phys. Rev. E 49 1994 1685
17. B. Podobnik, and H.E. Stanley Phys. Rev. Lett. 100 2008 084102
18. D. Horvatic, H.E. Stanley, and B. Podobnik Eur. Phys. Lett. 94 2011 18007
19. G.F. Zebende, and A. Machado Filho Physica A 388 2009 4863
20. W.-X. Zhou Phys. Rev. E 77 2008 066211
21. G. Cao, L. Xu, and J. Cao Physica A 391 20 2012 4855
22. L.-Y. He, and -P. Chen Physica A 390 2011 297
23. L.-Y. He, and S.-P. Chen Physica A 390 2011 3806
24. G.F. Zebende Physica A 390 4 2011 614
25. B. Podobnik, Z.-Q. Jiang, W.-X. Zhou, and H.E. Stanley Phys. Rev. E 84 2011 066118
26. R.T. Vassoler, and G.F. Zebende Physica A 391 7 2012 2438
27. J. Hosking Biometrika 68 1981 165
28. C.W.J. Granger J. Econometrics 14 1980 227
29. B. Podobnik, I. Grosse, D. Horvatic, S. Ilic, P.C. Ivanov, and H.E. Stanley Eur. Phys. J. B 71 2009 243
30. B. Podobnik, P.C. Ivanov, K. Biljakovic, D. Horvatic, H.E. Stanley, and I. Grosse Phys. Rev. E 72 2005 026121
31. I. Gvozdanovic, B. Podobnik, D. Wangc, and H.E. Stanley Physica A 391 2012 2860
32. C.B. Erb, C.R. Harvey, and T.E. Viscanta Financ. Anal. J. 50 1994 32
33. B. Podobnik, D. Fu, H.E. Stanley, and P.C. Ivanov Eur. Phys. J. B 56 2007 47
34. B. Podobnik, D. Horvati, A.M. Petersen, and H.E. Stanley Proc. Natl. Acad. Sci. USA 106 2009 22079
35. http://finance.yahoo.com/.