Detrended cross-correlation analysis: A new method for analyzing two nonstationary time series

被引：1130
|
作者：
Podobnik, Boris [1 ,2 ]
Stanley, H. Eugene [3 ,4 ]
机构：
[1] Univ Rijeka, Fac Civil Engn, Dept Phys, Rijeka, Croatia
[2] Zagreb Sch Econ & Management, Zagreb, Croatia
[3] Boston Univ, Ctr Polymer Studies, Boston, MA 02215 USA
[4] Boston Univ, Dept Phys, Boston, MA 02215 USA
来源：
PHYSICAL REVIEW LETTERS | 2008年 / 100卷 / 08期
关键词：
D O I：
10.1103/PhysRevLett.100.084102
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
Here we propose a new method, detrended cross-correlation analysis, which is a generalization of detrended fluctuation analysis and is based on detrended covariance. This method is designed to investigate power-law cross correlations between different simultaneously recorded time series in the presence of nonstationarity. We illustrate the method by selected examples from physics, physiology, and finance.
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页数：4
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