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Journal Article

Multifractal height cross-correlation analysis: A new method for analyzing long-range cross-correlations

Krištoufek Ladislav

: EPL vol.95, 6 (2011)

: CEZ:AV0Z10750506

: GA402/09/0965, GA ČR, GD402/09/H045, GA ČR, 118310, GA UK

: cross-correlations, multifractality

: 10.1209/0295-5075/95/68001

: 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

07.01.2019 - 08:39