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Detrended multiple cross-correlation coefficient with sliding windows approach
Physica A: Statistical Mechanics and its Applications ( IF 2.8 ) Pub Date : 2021-04-02 , DOI: 10.1016/j.physa.2021.125990
E.F. Guedes , A.M. da Silva Filho , G.F. Zebende

In this paper we implemented the detrended multiple cross-correlation coefficient with sliding windows approach in order to measure multiple cross-correlation between time series as a function of time scale n, and a sliding time τ. Faced with several non-stationary time series, a fixed size window will be defined by w, and the coefficients DMCx2 are calculated for different time scales (4nw4) and time τ. Following this methodology, it was possible to set up a DMCx2 cross-correlation color map for a simulated (random) and an empirical case. This new color map with sliding windows shows the time scale and the current day for a cross-correlation analysis. In this way, it is possible to analyze the multiple cross-correlation between three or more variables in different areas of knowledge, such as economics and finance.



中文翻译:

滑动窗口法去趋势多重相关系数

在本文中,我们使用滑动窗口方法实现了去趋势的多重互相关系数,以便测量时间序列之间的多重互相关作为时间标度的函数 ñ,以及滑动时间 τ。面对几个非平稳时间序列,固定大小的窗口将由w,以及系数 d中号CX2个 是针对不同的时间范围计算的(4ñw4)和时间 τ。按照这种方法,可以建立一个d中号CX2个模拟(随机)和经验案例的互相关色图。带有滑动窗口的新色图显示了时间标度和当前日期,以进行互相关分析。这样,可以分析不同知识领域(例如,经济和金融)中三个或更多变量之间的多重互相关。

更新日期:2021-04-14
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