pith. sign in

arxiv: 1310.3984 · v1 · pith:L6RWAKWVnew · submitted 2013-10-15 · 💱 q-fin.ST

Measuring correlations between non-stationary series with DCCA coefficient

classification 💱 q-fin.ST
keywords coefficientdccacorrelationnon-stationaryseriespearsonreportability
0
0 comments X
read the original abstract

In this short report, we investigate the ability of the DCCA coefficient to measure correlation level between non-stationary series. Based on a wide Monte Carlo simulation study, we show that the DCCA coefficient can estimate the correlation coefficient accurately regardless the strength of non-stationarity (measured by the fractional differencing parameter $d$). For a comparison, we also report the results for the standard Pearson's correlation coefficient. The DCCA coefficient dominates the Pearson's coefficient for non-stationary series.

This paper has not been read by Pith yet.

discussion (0)

Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.