DFA (version 1.0.0)

DCCA: Detrended Cross-Correlation Analysis (DCCA)

Description

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

Usage

DCCA(file,file2,scale = 2^(1/8),box_size = 4,m=1)

Value

boxe

Size $n$ of the overlapping boxes.

DFA1

DFA of the first time series (file).

DFA2

DFA of the second time series (file2).

DCCA

Detrended Cross-Correlation function.

Arguments

file

Univariate time series (must be a vector or data frame)

file2

Univariate time series (must be a vector or data frame)

scale

Specifies the ratio between successive box sizes (by default scale = 2^(1/8))

box_size

Vector of box sizes (must be used in conjunction with scale = "F")

m

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

Author

Victor Barreto Mesquita

Details

The Detrended Cross-Correlation Analysis method (DCCA) can be computed in a geometric scale or for different choices of boxes sizes.

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

#The following examples using the database of financial time series
#collected during the United States bear market of 2007-2009.
# \donttest{
library(DFA)
data("NYA2008")
data("IXIC2008")
file = NYA2008
file2= IXIC2008

DCCA(file,file2,scale = 2^(1/8),box_size = c(4,8,16),m=1)
# }
# \donttest{
# Example with different polynomial fit order.

library(DFA)
data("NYA2008")
data("LSE.L2008")
file = NYA2008
file2= LSE.L2008

DCCA(file,file2,scale = 2^(1/8),box_size = c(4,8,16),m=2)
# }
# \donttest{
# Example using different choice of overlapping boxes sizes.

library(DFA)
data("NYA2008")
data("IXIC2008")
file = NYA2008
file2= IXIC2008

DCCA(file,file2,scale = "F",box_size = c(4,8,16),m=1)
# }