Deltarho {DFA} | R Documentation |

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

Deltarho(file,file2,file3,file4,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) |

`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 |

The Deltarho 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 ( |

`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 |

The time series `file`

,`file2`

,`file3`

and `file4`

must have the same sample size.

Victor Barreto Mesquita

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.

#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]