Description Usage Arguments Value Note Author(s) References See Also Examples

Calculates the detrended cross-correlation coefficient for two time series *y1* and *y2*.

1 |

`y1, y2` |
vectors corresponding to the time series data. If |

`m` |
an integer value or a vector of integer values indicating the size of the window for the polinomial fit. |

`nu` |
the degree of the polynomial fit |

`overlap` |
logical: if true (the default), uses overlapping windows. Otherwise, non-overlapping boxes are applied. |

A list containing the following elements, calculated considering windows of size *m+1*, for each *m* supplied:

`F2dfa1, F2dfa2` |
The detrended variances for |

`Fdcca` |
The detrended cross-covariance. |

`rhodcca` |
The detrended cross-correlation coefficient. |

The time series *y1* and *y2* must have the same sample size.

Taiane Schaedler Prass

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

`F2dfa`

which calculated the DFA and `Fdcca`

which calculated the DCCA of two given time series.

1 2 3 4 5 6 7 |

Embedding an R snippet on your website

Add the following code to your website.

For more information on customizing the embed code, read Embedding Snippets.