Algorithm for the Characterization of the Cross-Correlation Structure in Multivariate Time Series

2013 ◽  
Vol 33 (4) ◽  
pp. 1289-1297 ◽  
Author(s):  
Kazimieras Pukenas
Keyword(s):  
Time Series ◽  
Cross Correlation ◽  
Multivariate Time Series ◽  
Correlation Structure ◽  
The Cross

Detection and characterization of changes of the correlation structure in multivariate time series

2005 ◽  
Vol 71 (4) ◽  
Author(s):  
Markus Müller ◽  
Gerold Baier ◽  
Andreas Galka ◽  
Ulrich Stephani ◽  
Hiltrud Muhle
Keyword(s):  
Time Series ◽  
Multivariate Time Series ◽  
Correlation Structure

scholarly journals On studying relations between time series in climatology

2015 ◽  
Vol 6 (1) ◽  
pp. 389-397 ◽  
Author(s):  
V. Privalsky
Keyword(s):  
Time Series ◽  
Cross Correlation ◽  
Multivariate Time Series ◽  
Correlation Coefficients ◽  
Atlantic Multidecadal Oscillation ◽  
Regression Equations ◽  
Full Time ◽  
The Cross ◽  
Domain Description ◽  
Bivariate Time Series

Abstract. Relationships between time series are often studied on the basis of cross-correlation coefficients and regression equations. This approach is generally incorrect for time series, irrespective of the cross-correlation coefficient value, because relations between time series are frequency-dependent. Multivariate time series should be analyzed in both time and frequency domains, including fitting a parametric (preferably, autoregressive) stochastic difference equation to the time series and then calculating functions of frequency such as spectra and coherent spectra, coherences, and frequency response functions. The example with a bivariate time series "Atlantic Multidecadal Oscillation (AMO) – sea surface temperature in Niño area 3.4 (SST3.4)" proves that even when the cross correlation is low, the time series' components can be closely related to each other. A full time and frequency domain description of this bivariate time series is given. The AMO–SST3.4 time series is shown to form a closed-feedback loop system with a 2-year memory. The coherence between AMO and SST3.4 is statistically significant at intermediate frequencies where the coherent spectra amount up to 55 % of the total spectral densities. The gain factors are also described. Some recommendations are offered regarding time series analysis in climatology.

scholarly journals Modeling Complex System Correlation Using Detrended Cross-Correlation Coefficient

2014 ◽  
Vol 2014 ◽  
pp. 1-7 ◽  
Author(s):  
Keqiang Dong ◽  
Hong Zhang ◽  
You Gao
Keyword(s):  
Complex System ◽  
Time Series ◽  
Correlation Coefficient ◽  
Cross Correlation ◽  
Heavy Tails ◽  
Correlation Property ◽  
Traffic Time Series ◽  
Cross Correlations ◽  
The Cross ◽  
Active Research

The understanding of complex systems has become an area of active research for physicists because such systems exhibit interesting dynamical properties such as scale invariance, volatility correlation, heavy tails, and fractality. We here focus on traffic dynamic as an example of a complex system. By applying the detrended cross-correlation coefficient method to traffic time series, we find that the traffic fluctuation time series may exhibit cross-correlation characteristic. Further, we show that two traffic speed time series derived from adjacent sections exhibit much stronger cross-correlations than the two speed series derived from adjacent lanes. Similarly, we also demonstrate that the cross-correlation property between the traffic volume variables from two adjacent sections is stronger than the cross-correlation property between the volume variables of adjacent lanes.

scholarly journals Investigations of Broad Line Region Structure and Kinematics Using Variability

1989 ◽  
Vol 134 ◽  
pp. 93-95
Author(s):  
C. Martin Gaskell ◽  
Anuradha P. Koratkar ◽  
Linda S. Sparke
Keyword(s):  
Time Series ◽  
Cross Correlation ◽  
Sampling Interval ◽  
Broad Line ◽  
Line Flux ◽  
Line Region ◽  
Cross Correlations ◽  
The Mean ◽  
The Cross ◽  
The Continuum

Gaskell and Sparke (1986) showed that one can determine the sizes of BLRs more accurately that the mean sampling interval by cross-correlating the continuum flux time series with a line flux time series. The position of the peak in the cross-correlation function (CCF) and its shape give an indication of the BLR size. The technique is explained in detail in Gaskell and Peterson (1987). The widely propagated misunderstanding is that the method involves simply interpolating both time series and cross-correlating them (in which case the CCF is dominated by the cross-correlations of “made-up” data). Actually the method involves cross correlating the observed points in one time series (continuum, say) with the linear interpolations of the other series (line flux). The line flux time series must always be smoother than the continuum time series it is derived from. We have usually employed the method with the interpolation done both ways round and averaged them (to reduce errors due to the interpolation) and we can intercompare the two results (to investigate errors).

Multiscale Multifractal Detrended Cross-Correlation Analysis of High-Frequency Financial Time Series

2019 ◽  
Vol 18 (03) ◽  
pp. 1950014 ◽  
Author(s):  
Jingjing Huang ◽  
Danlei Gu
Keyword(s):  
Time Series ◽  
Correlation Analysis ◽  
High Frequency ◽  
Cross Correlation ◽  
Financial Time Series ◽  
Chinese Market ◽  
Change Of Scale ◽  
Cross Correlation Analysis ◽  
Cross Correlations ◽  
The Cross

In order to obtain richer information on the cross-correlation properties between two time series, we introduce a method called multiscale multifractal detrended cross-correlation analysis (MM-DCCA). This method is based on the Hurst surface and can be used to study the non-linear relationship between two time series. By sweeping through all the scale ranges of the multifractal structure of the complex system, it can present more information than the multifractal detrended cross-correlation analysis (MF-DCCA). In this paper, we use the MM-DCCA method to study the cross-correlations between two sets of artificial data and two sets of 5[Formula: see text]min high-frequency stock data from home and abroad. They are SZSE and SSEC in the Chinese market, and DJI and NASDAQ in the US market. We use Hurst surface and Hurst exponential distribution histogram to analyze the research objects and find that SSEC, SZSE and DJI, NASDAQ all show multifractal properties and long-range cross-correlations. We find that the fluctuation of the Hurst surface is related to the positive and negative of [Formula: see text], the change of scale range, the difference of national system, and the length of time series. The results show that the MM-DCCA method can give more abundant information and more detailed dynamic processes.

Sign in / Sign up

Export Citation Format

Share Document