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Detrended multiple cross-correlation coefficient with sliding windows approach

2021; Elsevier BV; Volume: 574; Linguagem: Inglês

10.1016/j.physa.2021.125990

1873-2119

Everaldo Freitas Guedes, Aloísio Machado da Silva Filho, Gilney Figueira Zebende,

Chaos control and synchronization

In this paper we implemented the detrended multiple cross-correlation coefficient with sliding windows approach in order to measure multiple cross-correlation between time series as a function of time scale n, and a sliding time τ. Faced with several non-stationary time series, a fixed size window will be defined by w, and the coefficients DMCx2 are calculated for different time scales (4≤n≤w4) and time τ. Following this methodology, it was possible to set up a DMCx2 cross-correlation color map for a simulated (random) and an empirical case. This new color map with sliding windows shows the time scale and the current day for a cross-correlation analysis. In this way, it is possible to analyze the multiple cross-correlation between three or more variables in different areas of knowledge, such as economics and finance.