rhoDCCA {DFA} | R Documentation |

## Detrended Cross-Correlation Coefficient (rhoDCCA)

### Description

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

### Usage

```
rhoDCCA(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 |

`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 Detrended Cross-Correlation Coefficient (rhoDCCA) 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 ( |

`DCCA` |
Detrended Cross-Correlation function. |

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

### Note

The time series `file`

and `file2`

must have the same sample size.

### Author(s)

Victor Barreto Mesquita

### References

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

### 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
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)
```

*DFA*version 1.0.0 Index]