| bibtype |
J -
Journal Article
|
| ARLID |
0473066 |
| utime |
20240103213846.6 |
| mtime |
20170316235959.9 |
| SCOPUS |
85014923760 |
| WOS |
000399513200015 |
| DOI |
10.1016/j.cnsns.2017.02.018 |
| title
(primary) (eng) |
Fractal approach towards power-law coherency to measure cross-correlations between time series |
| specification |
| page_count |
8 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0314933 |
| ISSN |
1007-5704 |
| title
|
Communications in Nonlinear Science and Numerical Simulation |
| volume_id |
50 |
| volume |
1 (2017) |
| page_num |
193-200 |
| publisher |
|
|
| keyword |
power-law coherency |
| keyword |
power-law cross-correlations |
| keyword |
correlations |
| author
(primary) |
| ARLID |
cav_un_auth*0256902 |
| name1 |
Krištoufek |
| name2 |
Ladislav |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| country |
CZ |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| ARLID |
cav_un_auth*0303546 |
| project_id |
GP14-11402P |
| agency |
GA ČR |
| country |
CZ |
|
| abstract
(eng) |
We focus on power-law coherency as an alternative approach towards studying power law cross-correlations between simultaneously recorded time series. To be able to study empirical data, we introduce three estimators of the power-law coherency parameter Hp based on popular techniques usually utilized for studying power-law cross-correlations detrended cross-correlation analysis (DCCA), detrending moving-average cross-correlation analysis (DMCA) and height cross-correlation analysis (HXA). In the finite sample properties study, we focus on the bias, variance and mean squared error of the estimators. We find that the DMCA-based method is the safest choice among the three. The HXA method is reasonable for long time series with at least 104 observations, which can be easily attainable in some disciplines but problematic in others. The DCCA-based method does not provide favorable properties which even deteriorate with an increasing time series length. The paper opens a new venue towards studying cross-correlations between time series. |
| RIV |
AH |
| FORD0 |
50000 |
| FORD1 |
50200 |
| FORD2 |
50202 |
| reportyear |
2018 |
| num_of_auth |
1 |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0271360 |
| confidential |
S |
| mrcbC86 |
1 Article Mathematics Applied|Mathematics Interdisciplinary Applications|Mechanics|Physics Fluids Plasmas|Physics Mathematical |
| mrcbC86 |
1 Article Mathematics Applied|Mathematics Interdisciplinary Applications|Mechanics|Physics Fluids Plasmas|Physics Mathematical |
| mrcbC86 |
1 Article Mathematics Applied|Mathematics Interdisciplinary Applications|Mechanics|Physics Fluids Plasmas|Physics Mathematical |
| mrcbT16-e |
MATHEMATICSAPPLIED|MATHEMATICSINTERDISCIPLINARYAPPLICATIONS|MECHANICS|PHYSICSFLUIDSPLASMAS|PHYSICSMATHEMATICAL |
| mrcbT16-j |
0.859 |
| mrcbT16-s |
1.372 |
| mrcbT16-B |
71.568 |
| mrcbT16-D |
Q2 |
| mrcbT16-E |
Q1 |
| arlyear |
2017 |
| mrcbU14 |
85014923760 SCOPUS |
| mrcbU24 |
PUBMED |
| mrcbU34 |
000399513200015 WOS |
| mrcbU63 |
cav_un_epca*0314933 Communications in Nonlinear Science and Numerical Simulation 1007-5704 1878-7274 Roč. 50 č. 1 2017 193 200 Elsevier |
|