Institute of Information Theory and Automation

Publication details

Detrending moving-average cross-correlation coefficient: Measuring cross-correlations between non-stationary series

Journal Article

Krištoufek Ladislav

serial: Physica. A : Statistical Mechanics and its Applications vol.406, 1 (2014), p. 169-175

project(s): GAP402/11/0948, GA ČR, GP14-11402P, GA ČR

keywords: correlations, econophysics, non-stationarity

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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.


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Last modification: 21.12.2012
Institute of Information Theory and Automation