DCCA {DFA} R Documentation

## Detrended Cross-Correlation Analysis (DCCA)

### Description

Applies the Detrended Cross-Correlation Analysis (DCCA) to nonstationary time series.

### Usage

DCCA(file,file2,scale = 2^(1/8),box_size = 4,m=1)


### Arguments

 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 scale = 2^(1/8)) box_size Vector of box sizes (must be used in conjunction with scale = "F") m An integer of the polynomial order for the detrending (by default m=1).

### Details

The Detrended Cross-Correlation Analysis method (DCCA) can be computed in a geometric scale or for different choices of boxes sizes.

### Value

 boxe Size n of the overlapping boxes. DFA1 DFA of the first time series (file). DFA2 DFA of the second time series (file2). DCCA Detrended Cross-Correlation function.

### Note

The time series file and file2 must have the same sample size.

### Author(s)

Victor Barreto Mesquita

### References

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

### Examples

#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)



[Package DFA version 0.9.0 Index]