Detrended fluctuation analysis of multivariate time series
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- 作者：Hui Xiong 11271099@bjtu.edu.cn" class="auth_mail" title="E-mail the corresponding author ; P. Shang ; pjshang@bjtu.edu.cn" class="auth_mail" title="E-mail the corresponding author
- 关键词：Multivariate ; Multi-scale ; Detrended fluctuation analysis ; Financial time series
- 刊名：Communications in Nonlinear Science and Numerical Simulation
- 出版年：2017
- 出版时间：January 2017
- 年：2017
- 卷：42
- 期：Complete
- 页码：12-21
- 全文大小：1004 K
文摘
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We extend the detrended fluctuation analysis to the multivariate case, named MVDFA.
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The MVDFA exponent is identical with the average exponent of the individual series.
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The scaling exponent of correlated bivariate series is irrelevant to correlation levels.
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The number of series with large exponent in the system affects the MVDFA exponent.
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Multi-scale MVDFA reveals different properties between Chinese and US stock markets.