MULTIFRACTAL CROSS-CORRELATION ANALYSIS BASED ON STATISTICAL MOMENTS

By Jing Wang, Pengjian Shang, Weijie Ge. 2012

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Detrending moving-average cross-correlation coefficient: Measuring cross-correlations between non-stationary series (2013, background): “For this purpose, various estimators of power-laws in crosscorrelations of a pair of series have been proposed [13, 19, 8, 6, 15].”
Mixed-correlated ARFIMA processes for power-law cross-correlations (2013, methodology): “[32]— multifractal cross-correlation analysis based on statisticalmoments (MFSMXA).”
Measuring correlations between non-stationary series with DCCA coefficient (2013, methodology): “(APE) [23] andmultifractal cross-correlation analysis based on statistical moments (MFSMXA) [24].”
Autocorrelation and cross-correlation in time series of homicide and attempted homicide (2014, methodology): “We can point out other methods of estimation of the λ [60–63].”