DCCA {DFA} | R Documentation |
Applies the Detrended Cross-Correlation Analysis (DCCA) to nonstationary time series.
DCCA(file,file2,scale = 2^(1/8),box_size = 4,m=1)
file |
Univariate time series (must be a vector or data frame) |
file2 |
Univariate time series (must be a vector or data frame) |
scale |
Specifies the ratio between successive box sizes (by default |
box_size |
Vector of box sizes (must be used in conjunction with |
m |
An integer of the polynomial order for the detrending (by default |
The Detrended Cross-Correlation Analysis method (DCCA) can be computed in a geometric scale or for different choices of boxes sizes.
boxe |
Size |
DFA1 |
DFA of the first time series ( |
DFA2 |
DFA of the second time series ( |
DCCA |
Detrended Cross-Correlation function. |
The time series file
and file2
must have the same sample size.
Victor Barreto Mesquita
N. Xu, P. Shang, S. Kamae Modeling traffic flow correlation using DFA and DCCA Nonlinear Dynam., 61 (2010), pp. 207-216
B. Podobnik, D. Horvatic, A. Petersen, H.E. Stanley Cross-correlations between volume change and price change PNAS, 106 (52) (2009), pp. 22079-22084
R. Ursilean, A.-M. Lazar Detrended cross-correlation analysis of biometric signals used in a new authentication method Electr. Electron. Eng., 1 (2009), pp. 55-58
#The following examples using the database of financial time series
#collected during the United States bear market of 2007-2009.
library(DFA)
data("NYA2008")
data("IXIC2008")
file = NYA2008
file2= IXIC2008
DCCA(file,file2,scale = 2^(1/8),box_size = c(4,8,16),m=1)
# Example with different polynomial fit order.
library(DFA)
data("NYA2008")
data("LSE.L2008")
file = NYA2008
file2= LSE.L2008
DCCA(file,file2,scale = 2^(1/8),box_size = c(4,8,16),m=2)
# Example using different choice of overlapping boxes sizes.
library(DFA)
data("NYA2008")
data("IXIC2008")
file = NYA2008
file2= IXIC2008
DCCA(file,file2,scale = "F",box_size = c(4,8,16),m=1)