Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Nonstationary Time Series
Boris PodobnikDepartment of Physics, University of Rijeka, Rijeka, Croatia . [email protected]H. Eugene StanleyDepartment of Physics, Faculty of Civil Engineering, University of Rijeka, Rijeka, Croatia and Zagreb School of Economics and Management, Zagreb, Croatia
2008en
ABI
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.
Identifiers
Citations and references
Cited by 20 references