Measuring correlations between non-stationary series with DCCA coefficient

Physica A: Statistical Mechanics and its Applications

Volumn 402, Issue , 2014, Pages 291-298

  Kristoufek, Ladislav ^a,b  

^a INSTITUTE OF INFORMATION THEORY AND AUTOMATION   (Czech Republic)

^b CHARLES UNIVERSITY   (Czech Republic)

Author keywords

Econophysics; Long term memory; Power law cross correlations

Indexed keywords

CORRELATION METHODS; MONTE CARLO METHODS;

CORRELATION COEFFICIENT; CROSS CORRELATIONS; ECONOPHYSICSS; LONG TERM MEMORY; NON-STATIONARITIES; NON-STATIONARY SERIES; PEARSON COEFFICIENT; PEARSON CORRELATION COEFFICIENTS;

TIME SERIES ANALYSIS;

EID: 84894589608     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2014.01.058     Document Type: Article

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