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arXiv · 1310.3984

Measuring correlations between non-stationary series with DCCA coefficient

Ladislav Kristoufek
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Abstract

In this short report, we investigate the ability of the DCCA coefficient to measure correlation level between non-stationary series. Based on a wide Monte Carlo simulation study, we show that the DCCA coefficient can estimate the correlation coefficient accurately regardless the strength of non-stationarity (measured by the fractional differencing parameter $d$). For a comparison, we also report the results for the standard Pearson's correlation coefficient. The DCCA coefficient dominates the Pearson's coefficient for non-stationary series.

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BibTeXRIS

Ladislav Kristoufek. 2013-10-15. Measuring correlations between non-stationary series with DCCA coefficient. https://doi.org/10.1016/j.physa.2014.01.058

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