DFA (version 0.1.0)

rhoDCCA: rhoDCCA

Description

Applies the Detrended Cross-Correlation Coefficient (rhoDCCA) to time series.

Usage

rhoDCCA(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.

rhoDCCA

Detrended Cross-Correlation Coefficient function.

Details

The rhoDCCA is computed in a geometric scale.

References

Zebende G.F. DCCA cross-correlation coefficient: Quantifying level of cross-correlation Physica A, 390 (4) (2011), pp. 614-618

Vassoler R.T., Zebende G.F. DCCA cross-correlation coefficient apply in time series of air temperature and air relative humidity Physica A, 391 (7) (2012), pp. 2438-2443

Guedes E.F., Zebende G.F., da Cunha Lima I.C. Quantificacao dos Efeitos do Cambio na Producao da Industria de Transformacao Baiana: uma abordagem via coeficiente de correlacao cruzada rho dcca Conjuntura & Planejamento, 1 (192) (2017), pp. 75-89

Examples

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

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

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

rhoDCCA(file,file2,m=2)

# }