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Statistical test for Δ ρ DCCA : Methods and data

2018; Elsevier BV; Volume: 18; Linguagem: Inglês

10.1016/j.dib.2018.03.080

2352-3409

Everaldo Freitas Guedes, Adriana Brito, Florêncio Mendes Oliveira Filho, B.F. Fernandez, Arleys Pereira Nunes de Castro, Aloísio Machado da Silva Filho, Gilney Figueira Zebende,

Time Series Analysis and Forecasting

In this paper the algorithm for ΔρDCCA statistical test (Guedes et al., 2018) [1] is presented. Our test begins with the simulation of four time series pairs, by an ARFIMA process. These time series has N=250 , 500, 1000, and 2000 points, see Guedes et al. (2018) [1]. The probability distribution function (PDF) is made available for all 10,000 samples, that start from the original time series, in supplementary material.