Detrended cross-correlation analysis: a new method for analyzing two nonstationary time series.
Here we propose a new method, detrended cross-correlation analysis, which is a generalization of detrended fluctuation analysis and is based on detrended covariance. This method is designed to investigate power-law cross correlations between different simultaneously recorded time series in the presence of nonstationarity. We illustrate the method by selected examples from physics, physiology, and finance.
Podobnik
Boris
B
Department of Physics, University of Rijeka, Rijeka, Croatia . bp@phy.hr
Stanley
H Eugene
HE
D002318:Cardiovascular Diseases / Q000503:physiopathology; D003627:Data Interpretation, Statistical; D004562:Electrocardiography; D004569:Electroencephalography; D006801:Humans; D015233:Models, Statistical; D012891:Sleep Apnea Syndromes / Q000503:physiopathology