Detrended fluctuation analysis of multivariate time series
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Publication:2004782
DOI10.1016/J.CNSNS.2016.04.035zbMath1473.62321OpenAlexW2345466586MaRDI QIDQ2004782
Publication date: 7 October 2020
Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cnsns.2016.04.035
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)
Related Items (13)
Permutation transition entropy: measuring the dynamical complexity of financial time series ⋮ The cross-correlation analysis of multi property of stock markets based on MM-DFA ⋮ Detrended fluctuation analysis based on higher-order moments of financial time series ⋮ Modified multifractal large deviation spectrum based on CID for financial market system ⋮ Multivariate large deviations spectrum for the multiscale analysis of stock markets ⋮ Nonuniversality of the horizontal visibility graph in inferring series periodicity ⋮ Two-dimensional multifractal cross-correlation analysis ⋮ Effects of missing data on characterization of complex dynamics from time series ⋮ Coupling correlation detrended analysis for multiple nonstationary series ⋮ Statistical properties of the detrended multiple cross-correlation coefficient ⋮ Multifractal temporally weighted detrended cross-correlation analysis of multivariate time series ⋮ EFFECT OF FILTERS ON MULTIVARIATE MULTIFRACTAL DETRENDED FLUCTUATION ANALYSIS ⋮ TESTING FOR EFFECTS OF CROSS-CORRELATIONS ON JOINT MULTIFRACTALITY
Cites Work
- Multifractal detrended fluctuation analysis of nonstationary time series
- Detrended fluctuation analysis of short datasets: An application to fetal cardiac data
- Dynamics from multivariate time series
- Weighted multifractal cross-correlation analysis based on Shannon entropy
- Cross-correlations between volume change and price change
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