Detrended Multiple Cross-Correlation Coefficient

By Gilney F. Zebende, A. M. S. Filho. Physica A: Statistical Mechanics and its Applications, 2018

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Abstract Based on the detrended cross-correlation coefficient, ρ x a , x b , we propose in this paper to establish a Detrended Multiple Cross-Correlation coefficient, D M C x 2 , to be applied in order to quantify the relations between non-stationary signals on different time scales. This Detrended Multiple Cross-Correlation coefficient will be the measure of the total association between the dependent variable, y , with the others i independent variables, x . It will be the generalization of ρ x a , x b , for more than two independent variables. To validate D M C x 2 , we set up a cross-correlation table (ranging from 0 to 1), and we determined the Detrended Multiple Cross-Correlation coefficient into simulated and real time series. The results of this analysis show that the Detrended Multiple Cross-Correlation coefficient may be suitable and useful to measure multiple cross-correlations, as we will see in this paper.

Subfields: Economics and Econometrics, Statistical and Nonlinear Physics, Signal Processing

View Paper: https://www.semanticscholar.org/paper/c0caf910736c6a0d717e4fbb8ebd42ea697a692d