Back to Search
Start Over
Multifractal Height Cross-Correlation Analysis: A New Method for Analyzing Long-Range Cross-Correlations
- Source :
- EPL 95, 68001, 2011
- Publication Year :
- 2012
-
Abstract
- We introduce a new method for detection of long-range cross-correlations and multifractality - multifractal height cross-correlation analysis (MF-HXA) - based on scaling of qth order covariances. MF-HXA is a bivariate generalization of the height-height correlation analysis of Barabasi & Vicsek [Barabasi, A.L., Vicsek, T.: Multifractality of self-affine fractals, Physical Review A 44(4), 1991]. The method can be used to analyze long-range cross-correlations and multifractality between two simultaneously recorded series. We illustrate a power of the method on both simulated and real-world time series.<br />Comment: 6 pages, 4 figures
Details
- Database :
- arXiv
- Journal :
- EPL 95, 68001, 2011
- Publication Type :
- Report
- Accession number :
- edsarx.1201.3473
- Document Type :
- Working Paper
- Full Text :
- https://doi.org/10.1209/0295-5075/95/68001