EFdcca: Expected value of the detrended cross-covariance

In DCCA: Detrended Fluctuation and Detrended Cross-Correlation Analysis

Description

Calculates the expected value of the detrended cross-covariance given a cross-covariance matrix.

Usage

EFdcca(m = 3, nu = 0, G, K = NULL)

Arguments

m	an integer or integer valued vector indicating the size of the window for the polinomial fit. min(m) must be greater or equal than nu or else it will result in an error.
nu	a non-negative integer denoting the degree of the polinomial fit applied on the integrated series.
G	the cross-covariance matrix for the original time series. The dimension of G must be (max(m)+1) by (max(m)+1).
K	optional: the matrix K. If this matrix and m are provided, then nu is ignored.

Value

a size length(m) vector containing the expected values of the detrended cross-covariance corresponding to the values of m provided. This is expression (23) in Prass and Pumi (2019).

Author(s)

Taiane Schaedler Prass

References

Prass, T.S. and Pumi, G. (2019). On the behavior of the DFA and DCCA in trend-stationary processes <arXiv:1910.10589>.

Examples

m = 3
K = Km(m = m, nu = 0)
G = diag(m+1)
EFdcca(G = G, K = K)
# same as
EFdcca(m = 3, nu = 0, G = G)

DCCA documentation built on Jan. 1, 2020, 5:06 p.m.