Multifractal temporally weighted detrended cross-correlation analysis of multivariate time series
Publication in refereed journal

香港中文大學研究人員
替代計量分析
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其它資訊
摘要Fractal and multifractal properties of various systems have been studied extensively. In this paper, first, the multivariate multifractal detrend cross-correlation analysis (MMXDFA) is proposed to investigate the multifractal features in multivariate time series. MMXDFA may produce oscillations in the fluctuation function and spurious cross correlations. In order to overcome these problems, we then propose the multivariate multifractal temporally weighted detrended cross-correlation analysis (MMTWXDFA). In relation to the multivariate detrended cross-correlation analysis and multifractal temporally weighted detrended cross-correlation analysis, an innovation of MMTWXDFA is the application of the signed Manhattan distance to calculate the local detrended covariance function. To evaluate the performance of the MMXDFA and MMTWXDFA methods, we apply them on some artificially generated multivariate series. Several numerical tests demonstrate that both methods can identify their fractality, but MMTWXDFA can detect long-range cross correlations and simultaneously quantify the levels of cross correlation between two multivariate series more accurately.
出版社接受日期04.02.2020
著者Shan Jiang, Bao-Gen Li, Zu-Guo Yu, Fang Wang, Vo Anh, Yu Zhou
期刊名稱Chaos
出版年份2020
月份2
卷號30
期次2
出版社AIP Publishing
文章號碼023134
國際標準期刊號1054-1500
電子國際標準期刊號1089-7682
語言美式英語

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