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DCCA (version 0.1.1)

Detrended Fluctuation and Detrended Cross-Correlation Analysis

Description

A collection of functions to perform Detrended Fluctuation Analysis (DFA) and Detrended Cross-Correlation Analysis (DCCA). This package implements the results presented in Prass, T.S. and Pumi, G. (2019). "On the behavior of the DFA and DCCA in trend-stationary processes" .

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Version

Install

install.packages('DCCA')

Monthly Downloads

227

Version

0.1.1

License

GPL (>= 3)

Maintainer

Taiane Schaedler Prass

Last Published

January 1st, 2020

Functions in DCCA (0.1.1)

Kkronm

The product of Kronecker Product of some Arrays
rhodcca

Detrended Cross-correlation coefficient
Qm

Projection Matrix Q
rhoE

The limit value of the detrended cross-covariance
EF2dfa

Expected value of the detrended variance
Km

Matrix K
covF2dfa

Autocovariance function of the detrended variance
covFdcca

Autocovariance function of the detrended cross-covariance
F2dfa

Detrended Variance
Jn

Matrix J
Fdcca

Detrended Cross-covariance
Pm

Projection Matrix P
EFdcca

Expected value of the detrended cross-covariance