English

Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Non-stationary Time Series

Statistical Finance 2009-11-13 v1 Statistical Mechanics

Abstract

Here we propose a method, based on detrended covariance which we call detrended cross-correlation analysis (DXA), to investigate power-law cross-correlations between different simultaneously-recorded time series in the presence of non-stationarity. We illustrate the method by selected examples from physics, physiology, and finance.

Cite

@article{arxiv.0709.0281,
  title  = {Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Non-stationary Time Series},
  author = {Boris Podobnik and H. Eugene Stanley},
  journal= {arXiv preprint arXiv:0709.0281},
  year   = {2009}
}

Comments

11 pages, 7 pictures

R2 v1 2026-06-21T09:13:24.873Z