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Multifractal height cross-correlation analysis: A new method for analyzing long-range cross-correlations
- 1.0364573 - ÚTIA 2013 RIV GB eng J - Journal Article
Krištoufek, Ladislav
Multifractal height cross-correlation analysis: A new method for analyzing long-range cross-correlations.
EPL. Roč. 95, č. 6 (2011), 68001/1-68001/6. ISSN 0295-5075. E-ISSN 1286-4854
R&D Projects: GA ČR GA402/09/0965; GA ČR GD402/09/H045
Grant - others:GA UK(CZ) 118310
Institutional research plan: CEZ:AV0Z10750506
Keywords : cross-correlations * multifractality
Subject RIV: AH - Economics
Impact factor: 2.171, year: 2011
http://library.utia.cas.cz/separaty/2011/E/kristoufek-0364573.pdf
We introduce a new method for the detection of long-range cross-correlations and multifractality -multifractal height cross-correlation analysis (MF-HXA)- based on scaling of q-th order covariances. MF-HXA is a bivariate generalization of the height-height correlation analysis of Baraba ́si and Vicsek (Baraba ́si A. L. and Vicsek T., Phys. Rev. A, 44 (1991) 2730). The method can be used to analyze long-range cross-correlations and multifractality between two simultaneously recorded series. We illustrate the utility of the method on both simulated and real-world time series.
Permanent Link: http://hdl.handle.net/11104/0200024
Number of the records: 1