rhoDCCA {DFA} | R Documentation |
Applies the Detrended Cross-Correlation Coefficient (rhoDCCA) to nonstationary time series.
rhoDCCA(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 Coefficient (rhoDCCA) can be computed in a geometric scale or for different choices of boxes sizes.
boxe |
Size n of the overlapping boxes. |
DFA1 |
DFA of the first time series ( |
DFA2 |
DFA of the second time series ( |
DCCA |
Detrended Cross-Correlation function. |
rhoDCCA |
Detrended Cross-Correlation Coefficient function, defined as the ratio between the |
The time series file
and file2
must have the same sample size.
Victor Barreto Mesquita
Zebende G.F. DCCA cross-correlation coefficient: Quantifying level of cross-correlation Physica A, 390 (4) (2011), pp. 614-618
Vassoler R.T., Zebende G.F. DCCA cross-correlation coefficient apply in time series of air temperature and air relative humidity Physica A, 391 (7) (2012), pp. 2438-2443
Guedes E.F., Zebende G.F., da Cunha Lima I.C. Quantificacao dos Efeitos do Cambio na Producao da Industria de Transformacao Baiana: uma abordagem via coeficiente de correlacao cruzada rho dcca Conjuntura & Planejamento, 1 (192) (2017), pp. 75-89
#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 rhoDCCA(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 rhoDCCA(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 rhoDCCA(file,file2,scale = "F",box_size = c(4,8,16),m=1)