Journal
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
Volume 501, Issue -, Pages 134-140Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/j.physa.2018.02.148
Keywords
Time series; DCCA cross-correlation coefficient; Statistical test
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Funding
- FAPESB (Fundacao de Amparo a Pesquisa do Estado da Bahia), Brazil [BOL 0976/2016, BOL 0262/2017]
- CNPq (Conselho Nacional de Desenvolvimento Cientifico e Tecnologico), Brazil [309288/2013-4]
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In this paper we propose a new statistical test for Delta rho(DCCA), Detrended Cross-Correlation Coefficient Difference, a tool to measure contagion/interdependence effect in time series of size N at different time scale n. For this proposition we analyzed simulated and real time series. The results showed that the statistical significance of Delta rho(DCCA) depends on the size N and the time scale n, and we can define a critical value for this dependency in 90%, 95%, and 99% of confidence level, as will be shown in this paper. (C) 2018 Elsevier B.V. All rights reserved.
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