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 |

`box_size` |
Vector of box sizes (must be used in conjunction with |

`m` |
An integer of the polynomial order for the detrending (by default |

### Details

The Deltarho can be computed in a geometric scale or for different choices of boxes sizes.

### Value

`boxe` |
Size |

`DFA1` |
DFA of the first time series ( |

`DFA2` |
DFA of the second time series ( |

`DFA3` |
DFA of the third time series ( |

`DFA4` |
DFA of the fourth time series ( |

`DCCA` |
Detrended Cross-Correlation function between the first time series ( |

`DCCA2` |
Detrended Cross-Correlation function between the third time series ( |

`rhoDCCA` |
Detrended Cross-Correlation Coefficient function, defined as the ratio between the |

`rhoDCCA2` |
Detrended Cross-Correlation Coefficient function, defined as the ratio between the |

### 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)
```

*DFA*version 1.0.0 Index]