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 length(y1) and length(y2) differ, the longer time series is coerced to match the lenght of the shorter. |
m |
an integer value or a vector of integer values indicating the size of the window for the polinomial fit. min(m) must be greater or equal than nu or else it will return an error. |
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 y1 and y2, respectively. |
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 |
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