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Multifractal height cross-correlation analysis: A new method for analyzing long-range cross-correlations
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SYSNO ASEP 0364573 Document Type J - Journal Article R&D Document Type Journal Article Subsidiary J Článek ve WOS Title Multifractal height cross-correlation analysis: A new method for analyzing long-range cross-correlations Author(s) Krištoufek, Ladislav (UTIA-B) RID, ORCID Number of authors 1 Source Title EPL : Europhysics Letters. - : Institute of Physics Publishing - ISSN 0295-5075
Roč. 95, č. 6 (2011), 68001/1-68001/6Number of pages 6 s. Language eng - English Country GB - United Kingdom Keywords cross-correlations ; multifractality Subject RIV AH - Economics R&D Projects GA402/09/0965 GA ČR - Czech Science Foundation (CSF) GD402/09/H045 GA ČR - Czech Science Foundation (CSF) CEZ AV0Z10750506 - UTIA-B (2005-2011) UT WOS 000294996600035 EID SCOPUS 80053017779 DOI 10.1209/0295-5075/95/68001 Annotation 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. Workplace Institute of Information Theory and Automation Contact Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201. Year of Publishing 2013
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