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arXiv · 0709.0281

Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Non-stationary Time Series

Boris Podobnik·H. Eugene Stanley
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Abstract

Here we propose a method, based on detrended covariance which we call detrended cross-correlation analysis (DXA), to investigate power-law cross-correlations between different simultaneously-recorded time series in the presence of non-stationarity. We illustrate the method by selected examples from physics, physiology, and finance.

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Boris Podobnik, H. Eugene Stanley. 2007-09-03. Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Non-stationary Time Series. https://doi.org/10.1103/physrevlett.100.084102

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