Generalized theory for detrending moving-average cross-correlation analysis: A practical guide
To evaluate the long-range cross-correlation in non-stationary bi-variate time-series, detrending-operation-based analysis methods such as the detrending moving-average cross-correlation analysis (DMCA), are widely used. However, its mathematical foundation has not been well established. In this pap...
Main Authors: | Akio Nakata, Miki Kaneko, Taiki Shigematsu, Satoshi Nakae, Naoko Evans, Chinami Taki, Tetsuya Kimura, Ken Kiyono |
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Format: | Article |
Language: | English |
Published: |
Elsevier
2019-09-01
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Series: | Chaos, Solitons & Fractals: X |
Online Access: | http://www.sciencedirect.com/science/article/pii/S2590054420300038 |
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