DFA (version 1.0.0)

rhoDCCA: Detrended Cross-Correlation Coefficient (rhoDCCA)

Description

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

Usage

rhoDCCA(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.

rhoDCCA

Detrended Cross-Correlation Coefficient function, defined as the ratio between the DCCA and two DFA (DFA1,DFA2).

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 Coefficient (rhoDCCA) can be computed in a geometric scale or for different choices of boxes sizes.

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

#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

rhoDCCA(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

rhoDCCA(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

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

# }