کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7380999 | 1480167 | 2014 | 7 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Detrending moving-average cross-correlation coefficient: Measuring cross-correlations between non-stationary series
ترجمه فارسی عنوان
ضریب همبستگی متقاطع متوسط متحرک: اندازه گیری رابطه متقابل بین سری های غیر ثابت
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
چکیده انگلیسی
In the paper, we introduce a new measure of correlation between possibly non-stationary series. As the measure is based on the detrending moving-average cross-correlation analysis (DMCA), we label it as the DMCA coefficient ÏDMCA(λ) with a moving average window length λ. We analytically show that the coefficient ranges between â1 and 1 as a standard correlation does. In the simulation study, we show that the values of ÏDMCA(λ) very well correspond to the true correlation between the analyzed series regardless the (non-)stationarity level. Dependence of the newly proposed measure on other parameters-correlation level, moving average window length and time series length-is discussed as well.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 406, 15 July 2014, Pages 169-175
Journal: Physica A: Statistical Mechanics and its Applications - Volume 406, 15 July 2014, Pages 169-175
نویسندگان
Ladislav Kristoufek,