Detrended cross-correlation analysis: a new method for analyzing two nonstationary time series

Phys Rev Lett. 2008 Feb 29;100(8):084102. doi: 10.1103/PhysRevLett.100.084102. Epub 2008 Feb 27.

Abstract

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.

Publication types

  • Research Support, Non-U.S. Gov't

MeSH terms

  • Cardiovascular Diseases / physiopathology
  • Data Interpretation, Statistical*
  • Electrocardiography
  • Electroencephalography
  • Humans
  • Models, Statistical*
  • Sleep Apnea Syndromes / physiopathology