| bibtype |
J -
Journal Article
|
| ARLID |
0433529 |
| utime |
20240103204842.7 |
| mtime |
20141023235959.9 |
| SCOPUS |
84897552579 |
| WOS |
000337854500019 |
| DOI |
10.1016/j.physa.2014.03.015 |
| title
(primary) (eng) |
Detrending moving-average cross-correlation coefficient: Measuring cross-correlations between non-stationary series |
| specification |
| page_count |
7 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0257423 |
| ISSN |
0378-4371 |
| title
|
Physica. A : Statistical Mechanics and its Applications |
| volume_id |
406 |
| volume |
1 (2014) |
| page_num |
169-175 |
| publisher |
|
|
| keyword |
correlations |
| keyword |
econophysics |
| keyword |
non-stationarity |
| author
(primary) |
| ARLID |
cav_un_auth*0256902 |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| full_dept |
Department of Econometrics |
| share |
100 |
| name1 |
Krištoufek |
| name2 |
Ladislav |
| institution |
UTIA-B |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| ARLID |
cav_un_auth*0284442 |
| project_id |
GAP402/11/0948 |
| agency |
GA ČR |
| country |
CZ |
|
| project |
| ARLID |
cav_un_auth*0303546 |
| project_id |
GP14-11402P |
| agency |
GA ČR |
| country |
CZ |
|
| abstract
(eng) |
In the paper, we introduce a new measure of correlation between possibly non-stationary series. As the measure is based on the detrending moving-average cross-correlation analysis (DMCA), we label it as the DMCA coefficient ρDMCA(λ) with a moving average window length λ. We analytically show that the coefficient ranges between −1 and 1 as a standard correlation does. In the simulation study, we show that the values of ρDMCA(λ) very well correspond to the true correlation between the analyzed series regardless the (non-)stationarity level. Dependence of the newly proposed measure on other parameters – correlation level, moving average window length and time series length – is discussed as well. |
| RIV |
AH |
| reportyear |
2015 |
| num_of_auth |
1 |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0237765 |
| confidential |
S |
| mrcbT16-e |
PHYSICSMULTIDISCIPLINARY |
| mrcbT16-j |
0.449 |
| mrcbT16-s |
0.639 |
| mrcbT16-4 |
Q2 |
| mrcbT16-B |
47.398 |
| mrcbT16-C |
68.590 |
| mrcbT16-D |
Q3 |
| mrcbT16-E |
Q3 |
| arlyear |
2014 |
| mrcbU14 |
84897552579 SCOPUS |
| mrcbU34 |
000337854500019 WOS |
| mrcbU63 |
cav_un_epca*0257423 Physica. A : Statistical Mechanics and its Applications 0378-4371 1873-2119 Roč. 406 č. 1 2014 169 175 Elsevier |
|