Multifractal detrended cross-correlation analysis for two nonstationary signals

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dc.creatorZhou, Wei-Xing
dc.date2008-03-19
dc.date.accessioned2026-07-07T12:05:44Z
dc.date.available2026-07-07T12:05:44Z
dc.descriptionIt is ubiquitous in natural and social sciences that two variables, recorded temporally or spatially in a complex system, are cross-correlated and possess multifractal features. We propose a new method called multifractal detrended cross-correlation analysis (MF-DXA) to investigate the multifractal behaviors in the power-law cross-correlations between two records in one or higher dimensions. The method is validated with cross-correlated 1D and 2D binomial measures and multifractal random walks. Application to two financial time series is also illustrated.
dc.description4 RevTex pages including 6 eps figures
dc.identifierhttps://arxiv.org/abs/0803.2773
dc.identifierhttp://arxiv.org/abs/0803.2773
dc.identifierPhysical Review E 77 (6), 066211 (2008).
dc.identifierdoi:10.1103/PhysRevE.77.066211
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208458
dc.subjectData Analysis, Statistics and Probability
dc.subjectPhysics and Society
dc.subjectStatistical Finance
dc.titleMultifractal detrended cross-correlation analysis for two nonstationary signals
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