rhoDCCA {DFA}

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 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 Detrended Cross-Correlation Coefficient (rhoDCCA) 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).

DCCA

Detrended Cross-Correlation function.

rhoDCCA

Detrended Cross-Correlation Coefficient function, defined as the ratio between the DCCA and two DFA (DFA1,DFA2).

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)