GMZTests (version 0.1.4)

dmca.test: Statistical test for DMCA cross-correlation coefficient.

Description

This function performs the statistical test for Detrending moving-average cross-correlation coefficient based in White Gaussian Noise process.

Usage

dmca.test(N, k, m, rep)

Arguments

N

An integer value for the time series length.

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.

rep

An integer value indicating the number of repetitions.

Value

An list containing "timescale","mean", "sd" and confidence interval: "CI_0.90", "CI_0.95", "CI_0.99".

Details

This function include following measures: timescale and cross-correlation yx.

References

B. Podobnik, Z.-Q. Jiang, W.-X. Zhou, H. E. Stanley, Statistical tests for power-law cross-correlated processes, Phys. Rev.,E 84, 066118, 2011.

Examples

# NOT RUN {
dmca.test(N=100, k=10, m=c(4:6), rep=10)

# }