Author(s): Podobnik B, Stanley HE
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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.
This article was published in Phys Rev Lett
and referenced in Journal of Business & Financial Affairs