Detrended cross-correlation analysis: a new method for analyzing two nonstationary time series.

PODOBNIK B, STANLEY HE.: Phys Rev Lett 2008;100(8):084102.
Department of Physics, University of Rijeka, Rijeka, Croatia . bp@phy.hr

Abstract:

Here we propose a new method, detrended cross-correlation analysis, which is a generalization of detrended fluctuation analysis and is based on detrended covariance. This method is designed to investigate power-law cross correlations between different simultaneously recorded time series in the presence of nonstationarity. We illustrate the method by selected examples from physics, physiology, and finance.

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Abstract:

Here we propose a new method, detrended cross-correlation analysis, which is a generalization of detrended fluctuation analysis and is based on detrended covariance. This method is designed to investigate power-law cross correlations between different simultaneously recorded time series in the presence of nonstationarity. We illustrate the method by selected examples from physics, physiology, and finance.