Deltarho {DFA} R Documentation

## Delta Amplitude Detrended Cross-Correlation Coefficient (DeltarhoDCCA)

### Description

Applies the Detrended Cross-Correlation Coefficient Difference (Deltarho) to nonstationary time series.

### Usage

```Deltarho(file,file2,file3,file4,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) `file3` Univariate time series (must be a vector or data frame) `file4` 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 Deltarho 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`). `DFA3` DFA of the third time series (`file3`). `DFA4` DFA of the fourth time series (`file4`). `DCCA` Detrended Cross-Correlation function between the first time series (`file`) and the second time series (`file2`). `DCCA2` Detrended Cross-Correlation function between the third time series (`file3`) and the fourth time series (`file4`). `rhoDCCA` Detrended Cross-Correlation Coefficient function, defined as the ratio between the `DCCA` and two DFA (`DFA1,DFA2`). `rhoDCCA2` Detrended Cross-Correlation Coefficient function, defined as the ratio between the `DCCA2` and two DFA (`DFA3,DFA4`).

### Note

The time series `file`,`file2`,`file3` and `file4` must have the same sample size.

### Author(s)

Victor Barreto Mesquita

### References

SILVA, Marcus Fernandes da et al. Quantifying cross-correlation between ibovespa and brazilian blue-chips: The dcca approach. Physica A: Statistical Mechanics and its Applications, v. 424,2015.

### 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")
data("LSE.L2008")
data("SSEC2008")

file = NYA2008
file2= IXIC2008
file3 = LSE.L2008
file4 = SSEC2008

Deltarho(file,file2,file3,file4,scale = 2^(1/8),box_size = c(4,8,16),m=1)

# Example with different polynomial fit order.

library(DFA)
data("NYA2008")
data("IXIC2008")
data("LSE.L2008")
data("SSEC2008")

file = NYA2008
file2 = LSE.L2008
file3= IXIC2008
file4 = SSEC2008

Deltarho(file,file2,file3,file4,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")
data("LSE.L2008")
data("SSEC2008")

file = NYA2008
file2= IXIC2008
file3 = LSE.L2008
file4 = SSEC2008

Deltarho(file,file2,file3,file4,scale = "F",box_size = c(4,8,16),m=1)

```

[Package DFA version 0.9.0 Index]