Publication details
Journal Article
Multifractal height cross-correlation analysis: A new method for analyzing long-range cross-correlations
: EPL vol.95, 6 (2011)
: CEZ:AV0Z10750506
: GA402/09/0965, GA ČR, GD402/09/H045, GA ČR, 118310, GA UK
: cross-correlations, multifractality
: http://library.utia.cas.cz/separaty/2011/E/kristoufek-0364573.pdf
(eng): 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.
: AH