deltadmca.test: Statistical test for Statistical test for DMCA...

In GMZTests: Statistical Tests

Description

This function performs the statistical test for Detrending moving-average cross-correlation coefficient from two univariate ARFIMA process.

Usage

deltadmca.test(x, y, k, m, rep)

Arguments

x	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.
rep	An integer value indicating the number of repetitions.

Details

This function include following measures: timescale, rho_before, rho_affter, deltarho

Value

An list containing "timescale", "mean", "sd", "rho_before", "rho_affter", "deltarho", "CI_0.90", "CI_0.95", "CI_0.99".

References

Guedes, et al. Statistical test for DCCA cross-correlation coefficient, Physica A, v.501, 134-140, 2018.

Guedes, et al. Statistical test for DCCA: Methods and data, Data in Brief, v. 18, 795-798, 2018.

Examples

x <- rnorm(1000)
y <-  rnorm(1000)
deltadmca.test(x,y,k=100,m=c(4:6),rep=10)

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