Higher-Order Multifractal Detrended Partial Cross-Correlation Analysis for the Correlation Estimator

Complexity 2020:1-10 (2020)

Abstract

In this paper, we develop a new method to measure the nonlinear interactions between nonstationary time series based on the detrended cross-correlation coefficient analysis. We describe how a nonlinear interaction may be obtained by eliminating the influence of other variables on two simultaneous time series. By applying two artificially generated signals, we show that the new method is working reliably for determining the cross-correlation behavior of two signals. We also illustrate the application of this method in finance and aeroengine systems. These analyses suggest that the proposed measure, derived from the detrended cross-correlation coefficient analysis, may be used to remove the influence of other variables on the cross-correlation between two simultaneous time series.

Download options

PhilArchive



    Upload a copy of this work     Papers currently archived: 72,855

External links

Setup an account with your affiliations in order to access resources via your University's proxy server

Through your library

Analytics

Added to PP
2020-06-05

Downloads
1 (#1,560,389)

6 months
1 (#386,001)

Historical graph of downloads

Sorry, there are not enough data points to plot this chart.
How can I increase my downloads?

References found in this work

No references found.

Add more references

Citations of this work

No citations found.

Add more citations

Similar books and articles

Focused Correlation and Confirmation.Gregory Wheeler - 2009 - British Journal for the Philosophy of Science 60 (1):79-100.