Description Usage Arguments Details Value References Examples
This function performs the statistical test for DMC Cross-Correlation Coefficient based in White Gaussian Noise process.
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N |
An integer value for the time series length. |
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. |
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. |
nu |
An integer value. See the DCCA package. |
rep |
An integer value indicating the number of repetitions. |
This function include following measures: w, timescale, dmc, rhodcca_yx1, rhodcca_yx2, rhodcca_x1x2
An list containing "timescale", parameters of beta distribution: "shape1", "se1","shape2","se2" and confidence interval: "CI_0.90_uppper", "CI_0.95_uppper", "CI_0.99_uppper".
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.
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