EFdcca {DCCA} | R Documentation |
Expected value of the detrended cross-covariance
Description
Calculates the expected value of the detrended cross-covariance given a cross-covariance matrix.
Usage
EFdcca(m = 3, nu = 0, G, K = NULL)
Arguments
m |
an integer or integer valued vector indicating the size of the window for the polinomial fit. |
nu |
a non-negative integer denoting the degree of the polinomial fit applied on the integrated series. |
G |
the cross-covariance matrix for the original time series. The dimension of |
K |
optional: the matrix |
Value
a size vector containing the expected values of the detrended cross-covariance corresponding to the values of
provided. This is expression (23) in Prass and Pumi (2019).
Author(s)
Taiane Schaedler Prass
References
Prass, T.S. and Pumi, G. (2019). On the behavior of the DFA and DCCA in trend-stationary processes <arXiv:1910.10589>.
Examples
m = 3
K = Km(m = m, nu = 0)
G = diag(m+1)
EFdcca(G = G, K = K)
# same as
EFdcca(m = 3, nu = 0, G = G)