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DFA (version 1.0.0)

Detrended Fluctuation Analysis

Description

Containing the Detrended Fluctuation Analysis (DFA), Detrended Cross-Correlation Analysis (DCCA), Detrended Cross-Correlation Coefficient (rhoDCCA), Delta Amplitude Detrended Cross-Correlation Coefficient (DeltarhoDCCA), log amplitude Detrended Fluctuation Analysis (DeltalogDFA), and the Activity Balance Index, it also includes two DFA automatic methods for identifying crossover points and a Deltalog automatic method for identifying reference channels.

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Version

Install

install.packages('DFA')

Monthly Downloads

318

Version

1.0.0

License

Apache License (== 2.0)

Maintainer

Victor Mesquita

Last Published

February 22nd, 2024

Functions in DFA (1.0.0)

Detrended Cross-Correlation Coefficient (rhoDCCA)

data frame with log fluctuation channel curve simulated following an ARFIMA process

secant method for detection of crossover points

euclidean method for detection of crossover points

Self-similarity parameter (SSP)

Detrended Cross-Correlation Analysis (DCCA)

Detrended Fluctuation Analysis (DFA)

Time series referring to the adjusted closing price of the NASDAQ Composite (^IXIC) during the United States bear market of 2007\(-\)2009

Activity balance index (ABI)

Detrended Fluctuation Analysis Auxiliary function

log-amplitude Detrended Fluctuation Analysis (DeltaDFA)

Area Under the Curve

Delta Amplitude Detrended Cross-Correlation Coefficient (DeltarhoDCCA)

A single DFA dataframe with the decimal log fluctuation curve.

Time series referring to the adjusted closing price of the NYSE COMPOSITE (^NYA) during the United States bear market of 2007\(-\)2009

Time series referring to the adjusted closing price of the London Stock Exchange Group plc (LSE.L) during the period which the United States faced the bear market of 2007\(-\)2009.

Time series referring to the adjusted closing price of the SSE Composite Index (^SSEC) during the period which the United States faced the bear market of 2007\(-\)2009.