| bibtype |
J -
Journal Article
|
| ARLID |
0433533 |
| utime |
20240103204843.0 |
| mtime |
20141023235959.9 |
| SCOPUS |
84894589608 |
| WOS |
000333788400028 |
| DOI |
10.1016/j.physa.2014.01.058 |
| title
(primary) (eng) |
Measuring correlations between non-stationary series with DCCA coefficient |
| specification |
| page_count |
8 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0257423 |
| ISSN |
0378-4371 |
| title
|
Physica. A : Statistical Mechanics and its Applications |
| volume_id |
402 |
| volume |
1 (2014) |
| page_num |
291-298 |
| publisher |
|
|
| keyword |
power-law cross-correlations |
| keyword |
long-term memory |
| keyword |
econophysics |
| 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 this short report, we investigate the ability of the DCCA coefficient to measure correlation level between non-stationary series. Based on a wide Monte Carlo simulation study, we show that the DCCA coefficient can estimate the correlation coefficient accurately regardless the strength of non-stationarity (measured by the fractional differencing parameter d). For a comparison, we also report the results for the standard Pearson correlation coefficient. The DCCA coefficient dominates the Pearson coefficient for non- stationary series. |
| RIV |
AH |
| reportyear |
2015 |
| num_of_auth |
1 |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0237764 |
| 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 |
84894589608 SCOPUS |
| mrcbU34 |
000333788400028 WOS |
| mrcbU63 |
cav_un_epca*0257423 Physica. A : Statistical Mechanics and its Applications 0378-4371 1873-2119 Roč. 402 č. 1 2014 291 298 Elsevier |
|