GMZTests (version 0.1.4)

deltadmc.test: Statistical test for Delta DMC Multiple Detrended Cross-Correlation Coefficient

Description

This function performs the statistical test for Delta DMC cross-correlation coefficient from three univariate ARFIMA process.

Usage

deltadmc.test(x1, x2, y, k, m, nu, rep, method)

Arguments

x1

A vector containing univariate time series.

x2

A vector containing univariate time series.

y

A vector containing univariate time series.

k

An integer value indicating the boundary of the division \((N/k)\). The smallest value of \(k\) is \(4\).

m

an integer value or a vector of integer values indicating the size of the window for the polinomial fit.

nu

An integer value. See the DCCA package.

rep

An integer value indicating the number of repetitions.

method

A character string indicating which correlation coefficient is to be used. If method = "rhodcca" the dmc coefficient is generated from the DCCA coefficient. If method = "dmca", the dmc coefficient is generated from the DMCA coefficient.

Value

An list containing "timescale" "dmc_before", "dmc_after", "deltadmc", "CI_0.90", "CI_0.95", "CI_0.99".

Details

This function include following measures: timescale, dmc_before, dmc_after, deltadmc

References

ZEBENDE, G.F.; SILVA-FILHO, A.M. Detrended Multiple Cross-Correlation Coefficient. PHYSICA A, v.510, p.91-97, 2018.

SILVA-FILHO,A.M; ZEBENDE,G.; CASTRO,A.P.; GUEDES,E. Statistical test for multiple detrended cross-correlation coefficient, Physica A, v.562, 125285, 2021.

KRISTOUFEK, L. Detrending moving-average cross-correlation coefficient: Measuring cross-correlations between non-stationary series. PHYSICA A, v.406, p.169-175, 2014.

Examples

# NOT RUN {
x1 <- rnorm(100)
x2 <- rnorm(100)
y <-  rnorm(100)
deltadmc.test(x1,x2,y, k=10, m=c(4:6), nu=0, rep=10, method="rhodcca")

deltadmc.test(x1,x2,y, k=10, m=c(4:6), nu=0, rep=10, method="dmca")
# }