Statistical test for Multiple Detrended Cross-Correlation Coefficient

In this paper, we proposed a statistical test for the Multiple Detrended Correlation Coefficient DMCx2. The DMCx2 is a measure of total association between the dependent variable, Y, with other p independent variables, X all with the same length N. DMCx2 is based on the generalization of the rho(X-i,X-j) cross-correlation coefficient. With this methodology, it is possible to evaluate the statistical significance of DMC for different levels confidence. Findings on this research show that rejection or non-rejection of the null hypothesis of DMCx2 also depends on the size N of the series and the time scale n evaluated. Our findings also show a behavior pattern in the critical values of DMCx2 Fixing the size of the series (N), as the size of the time scale n increases, the critical values tend to increase. (C) 2020 Published by Elsevier B.V.