deltadmc.test: Statistical test for Delta DMC Multiple Detrended...

In GMZTests: Statistical Tests

Description

This function performs the statistical test for Delta DMC cross-correlation coefficient from three univariate ARFIMA process.

Usage

deltadmc.test(x1, x2, y, k, m, nu, rep, method)

Arguments

x1	A vector containing univariate time series.
x2	A vector containing univariate time series.
y	A vector containing univariate time series.
k	An integer value indicating the boundary of the division (N/k). The smallest value of k is 4.
m	an integer value or a vector of integer values indicating the size of the window for the polinomial fit.
nu	An integer value. See the DCCA package.
rep	An integer value indicating the number of repetitions.
method	A character string indicating which correlation coefficient is to be used. If method = "rhodcca" the dmc coefficient is generated from the DCCA coefficient. If method = "dmca", the dmc coefficient is generated from the DMCA coefficient.

Details

This function include following measures: timescale, dmc_before, dmc_after, deltadmc

Value

An list containing "timescale" "dmc_before", "dmc_after", "deltadmc", "CI_0.90", "CI_0.95", "CI_0.99".

References

ZEBENDE, G.F.; SILVA-FILHO, A.M. Detrended Multiple Cross-Correlation Coefficient. PHYSICA A, v.510, p.91-97, 2018.

SILVA-FILHO,A.M; ZEBENDE,G.; CASTRO,A.P.; GUEDES,E. Statistical test for multiple detrended cross-correlation coefficient, Physica A, v.562, 125285, 2021.

KRISTOUFEK, L. Detrending moving-average cross-correlation coefficient: Measuring cross-correlations between non-stationary series. PHYSICA A, v.406, p.169-175, 2014.

Examples

x1 <- rnorm(100)
x2 <- rnorm(100)
y <-  rnorm(100)
deltadmc.test(x1,x2,y, k=10, m=c(4:6), nu=0, rep=10, method="rhodcca")

deltadmc.test(x1,x2,y, k=10, m=c(4:6), nu=0, rep=10, method="dmca")

GMZTests documentation built on March 18, 2021, 5:08 p.m.