Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7375545 | Physica A: Statistical Mechanics and its Applications | 2018 | 7 Pages |
Abstract
In this paper we propose a new statistical test for ÎÏDCCA, Detrended Cross-Correlation Coefficient Difference, a tool to measure contagion/interdependence effect in time series of size N at different time scale n. For this proposition we analyzed simulated and real time series. The results showed that the statistical significance of ÎÏDCCA depends on the size N and the time scale n, and we can define a critical value for this dependency in 90%, 95%, and 99% of confidence level, as will be shown in this paper.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
E.F. Guedes, A.A. Brito, F.M. Oliveira Filho, B.F. Fernandez, A.P.N. de Castro, A.M. da Silva Filho, G.F. Zebende,