dmca.test: Statistical test for DMCA cross-correlation coefficient.

In GMZTests: Statistical Tests

Description

This function performs the statistical test for Detrending moving-average cross-correlation coefficient based in White Gaussian Noise process.

Usage

dmca.test(N, k, m, rep)

Arguments

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.
rep	An integer value indicating the number of repetitions.

Details

This function include following measures: timescale and cross-correlation yx.

Value

An list containing "timescale","mean", "sd" and confidence interval: "CI_0.90", "CI_0.95", "CI_0.99".

References

B. Podobnik, Z.-Q. Jiang, W.-X. Zhou, H. E. Stanley, Statistical tests for power-law cross-correlated processes, Phys. Rev.,E 84, 066118, 2011.

Examples

dmca.test(N=100, k=10, m=c(4:6), rep=10)

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