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Measuring correlations between non-stationary series with DCCA coefficient

Publikace na Matematicko-fyzikální fakulta, Fakulta sociálních věd |
2014

Tento text není v aktuálním jazyce dostupný. Zobrazuje se verze "en".Abstrakt

In this short report, we investigate the ability of the DCCA coefficient to measure correlation level between non-stationary series. Based on a wide Monte Carlo simulation study, we show that the DCCA coefficient can estimate the correlation coefficient accurately regardless the strength of non-stationarity (measured by the fractional differencing parameter d).

For a comparison, we also report the results for the standard Pearson correlation coefficient. The DCCA coefficient dominates the Pearson coefficient for non-stationary series. (C) 2014 Elsevier B.V.

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