DFA (version 0.1.0)

DCCA: DCCA

Description

Applies the Detrended Cross-Correlation Analysis (DCCA) to time series.

Usage

DCCA(file,file2,m=1)

Arguments

file

Univariate time series (must be a vector)

file2

Univariate time series (must be a vector)

m

An integer of the polynomial order for the detrending (by default m=1).

Value

box_size

Size of the windows computed in a geometric scale.

Log_n

decimal logarithmic of the box size.

DFA1

decimal logarithmic fluctuation function of the first time series.

DFA2

decimal logarithmic fluctuation function of the second time series.

DCCA

Detrended Cross-Correlation function.

Details

The DCCA is computed in a geometric scale.

References

N. Xu, P. Shang, S. Kamae Modeling traffic flow correlation using DFA and DCCA Nonlinear Dynam., 61 (2010), pp. 207-216

B. Podobnik, D. Horvatic, A. Petersen, H.E. Stanley Cross-correlations between volume change and price change PNAS, 106 (52) (2009), pp. 22079-22084

R. Ursilean, A.-M. Lazar Detrended cross-correlation analysis of biometric signals used in a new authentication method Electr. Electron. Eng., 1 (2009), pp. 55-58

Examples

# NOT RUN {
library(DFA)
data("data1")
data("data2")
file = data1
file2= data2

DCCA(file,file2,m=1)
# }
# NOT RUN {
# Example with different polynomial order.

library(DFA)
data("data3")
data("data4")
file = data3
file2= data4

DCCA(file,file2,m=2)
# }